Not a bug - the ^ needs to be escaped under windows.

E:\>echo Foo Bar. Figure 1. |sed -n '/^^Figure [0-9]\+\. /p'

E:\>echo Figure 1. Foo Bar. |sed -n '/^^Figure [0-9]\+\. /p'
Figure 1. Foo Bar.

But it's not fixed either. Reports matches twice now:

E:\>sed -n '/^^Figure [0-9]\+\. /p' 46-Addons.md
Figure 1. The EzHighlight Add-on Extension.
Figure 1. The EzHighlight Add-on Extension.
Figure 2. The EzHighlight Add-on on the Tools Menu.
Figure 2. The EzHighlight Add-on on the Tools Menu.