Looks like a bug, but I need to look at it some more...
For now, if you uncheck caption in dialog properties, save the resource script, manually edit the script with a text editor and remove the line that says
CAPTION "..."
(see example below), it looks like the caption stays away permanently...
1001 DIALOGEX DISCARDABLE 6, 18, 210, 142
STYLE WS_POPUP|DS_MODALFRAME|DS_CONTEXTHELP|DS_3DLOOK|WS_SYSMENU|WS_VISIBLE
CAPTION "..."
FONT 8, "MS Sans Serif", 0, 0, 1
BEGIN
...
EDIT: some coffee later
- just clear the 'Text' property field too... should probably be done automagically...