Instagram no longer allows any app to automatically copy your caption over.
To work around this, when you open your post from Later to Instagram, we actually copy the caption you created on desktop or mobile to your phone's clipboard. All you have to do is paste your caption in Instagram (you can do this by holding your finger on the caption area to get the paste option!).
Once you receive your alert, open your photo in the Instagram app, and paste the caption
Have an IOS? Tap your finger in the caption box to paste.
Have an Android? Hold your finger in the caption box to paste.
Instagram no longer lets any third party app automatically carry over your captions -- they made this change because there were loads of spammy apps out there ruining the fun for everyone.