Your double quotes around the HREF attribute break the data-caption. Single quotes work:
http://jsfiddle.net/hansvedo/pRvjC/1/
<div data-caption="<a href='http://www.w3schools.com/' >Create</a> <div>View/Edit</div> <div>Labels</div>" data-image="http://www.defie.co/designerImages/thumbnails/inventory.png"></div>