While testing for bug T76206, it seemed to me that when I tried to apply a wikilink to a word in a picture's caption, I needed to hit the toolbar icon or press CTRL-K twice, and only then the link inspector would show up. I actually think that you don't need to perform the action twice as if it didn't work the first time - it's just that is takes a bit longer for the inspector to show up. Applying links on the page main's body looks just fine instead.