I have found a temporary fix for this problem. You must make sure that the </dt> and </dl> tags are outside of the final <h2> tage. For example…
<div class="mceTemp"><dl class="wp-caption alignnone" style="width: 586px;"><dt class="wp-caption-dt"><a href="https://shitlondon.co.uk/wp-content/uploads/2011/07/Fay-Warner-copy.jpg"><img class="size-full wp-image-1402" IMAGE /></a>
<h2 class="wp-caption-dd"><span style="color: #000000;">Car Compound, Mitcham</span></h2>
</dt></dl>
</div>
I am currently having to do this manually at the moment, but it does resolve this issue.
