Change colour of one word in Captions

This can be done in Director using Slices, specifically Word Slices.

Select the Caption Layer from the Layers tab on the left-hand side of the program then expand that Caption Layer using the carat icon at its left side. This will expose the Slice entries. Click the icon at the right-hand edge of the Words entry and that will switch the Layers tab over to the Slice List for Words. Now you can select the word you want to affect. Enable the Colorize option in the Adjustments tab and set the selected word to the desired color.

Creator doesn't have the Slices feature, so doing this in Creator requires multiple captions with clever spacing to make it look like everything is part of a single caption.