CaptionLabel.Separator (Word)

Returns or sets the character between the chapter number and the sequence number.

Possible Values are wdSeparatorColon - A colon, wdSeparatorEmDash - An emphasized dash, wdSeparatorEnDash - A standard dash, wdSeparatorHyphen - A hyphen, wdSeparatorPeriod - A period.
With CaptionLabels("Figure") 
 .Separator = wdSeparatorColon 
 .IncludeChapterNumber = True 
End With 
Selection.InsertCaption "Figure"