The functionality you have described can be achieved with the "snapnow" function, which forces a snapshot of an image for inclusion in a published document. The image appears in the published document at the end of the cell that contains the "snapnow" command. Take, for example, the following code:
for i = 1:3
figure;
plot(rand(5));
snapnow
disp(['Figure ' num2str(i)]);
end
Another workaround to achieve this is to use "text" or "annotation" to embed some text within the figure itself. Then, this text will always be displayed with the figure. Consider the following code:
fplot(@(x) sin(x));
figLabel = {'Figure 1: A plot of sin(x)'};
dim = [0.1, 0.07, 0, 0];
annotation('textbox', dim, 'String', figLabel, 'FitBoxToText', 'on', 'LineStyle', 'none');
A figure can be edited using the plot tools, which allows for this annotation to be aligned more easily.