Well it looks like a strange way to to add a link to the caption by adding an html link as the title. Probably the editor thinks that is invalid (it doesn't expect something clever like wanting to put an url in the title) and it tries to clean up what it sees as incorrect stuff, or it might be a bug in the CKeditor.
You might try using TinyMCE instead of CKeditor and see if it works any better.
I know that with CKeditor if you save the content while in html source view without going back to design view, it will save it exactly as you enter the content. But if it is trying to fix it that will happen every time the editor loads in wysiwyg view, so it will be a problem every time you go to edit it again you would have to keep correcting it in html source view every time and then save it without going back to wysiwyg view.
Hope that helps,