I’m using InDesign CC 2018. I did group caption frames with graphics, then anchor them.
It doesn’t work well.
The captions are not really treated by InDesign as part of a single object–they float below the picture by way too much space, rather than being tucked neatly under it as part of a package, as you would expect. (This is no matter what above/below space you select, for the ePub as a whole or using the Object Export controls.) Also: although you can specify the object should be left-aligned, the resulting InDesign ePub has the pic several points right of the vertical axis, so not aligned with the text, either the caption text or the paragraphs above or below.