After a bit of a pause on this issue, I managed to create another macro that inserts the non-breaking space into a caption that is placed below a table. This would typically be used for Figures that according to ISO/IEC rules have their caption below the figure, whereas for a Table it is placed above.

    ActiveDocument.Tables.Add Range:=Selection.Range, NumRows:=2, NumColumns:= _
        4, DefaultTableBehavior:=wdWord9TableBehavior, AutoFitBehavior:= _
        wdAutoFitFixed
    With Selection.Tables(1)
        ...
        ...
    End With

    Selection.InsertCaption Label:=wdCaptionFigure, Title:=" " + ChrW(8212) + " My figute title", Position:=wdCaptionPositionBelow, ExcludeLabel:=0
    Selection.MoveStart Unit:=wdLine, Count:=-1
    Set rng = Selection.Range
    ActiveDocument.Range(rng.Start + Len("Figure"), rng.Start + Len("Figure") + 1).Text = ChrW(160)
    
    Selection.MoveStart Unit:=wdLine, Count:=1

Compared to the earlier code I now use Label:=wdCaptionFigure or Label:= wdCaptionTable to set the label type. My question now is if there is a way to find out, for example via the Len operation the length of the generated label depending on the given WdCaptionLabelID enumeration parameter, instead of using Len("Figure") or Len("Table").

Thanks