The following example defines a new caption format HangRedLine
. Starting point of the format was the definition for the caption format hang
. It puts the full caption in a box and overlays it with the red rule, which extends to the height and depth of the box.
\documentclass{scrbook}
\usepackage{tgpagella}% TeX Gyre Palladio (TeX Gyre's Palatino version)
\usepackage{caption}
\usepackage{xcolor}
\definecolor{CaptionBlue}{HTML}{005090}
\newcommand*{\RedCaptionLine}{%
\leavevmode
\llap{\color{red}\vline width 1pt\relax\,}%
}
\makeatletter
\newcommand*{\CaptionVLineWidth}{1pt}
\newcommand*{\CaptionVLineSep}{.2em}
\newcommand*{\CaptionVLine}{%
\noindent
\kern\dimexpr-\CaptionVLineSep-\CaptionVLineWidth\relax
\textcolor{red}{\vline width\CaptionVLineWidth}%
\kern\CaptionVLineSep\relax
}
\DeclareCaptionFormat{HangRedLine}[%
#1#2\CaptionVLine#3\par % Single line captions
]{% Multi-line captions
\caption@ifin@list\caption@lsepcrlist\caption@lsepname{%
\caption@Error{%
The option `labelsep=\caption@lsepname' does not work\MessageBreak
with `format=hang'}
}{%
\sbox0{%
\parbox[t]{\linewidth}{%
\@hangfrom{#1#2}%
\advance\caption@parindent\hangindent
\advance\caption@hangindent\hangindent
\xdef\CaptionHangIndent{\the\hangindent}%
\caption@@par#3\par
}%
}%
\noindent
\kern\CaptionHangIndent\relax
\CaptionVLine
\kern-\CaptionHangIndent\relax
\usebox0%
}%
}
\makeatother
\captionsetup{
labelsep=quad,
labelfont={color=CaptionBlue},
format=HangRedLine,
}
\begin{document}
\stepcounter{chapter}
\stepcounter{chapter}
\stepcounter{figure}
\begin{figure}
\caption{Illustration of the induced angle of attack
and the induced drag caused by the downwash velocity $w$}
\caption{Short caption}
\end{figure}
\end{document}

With subfigures:
\documentclass{scrbook}
\usepackage{tgpagella}% TeX Gyre Palladio (TeX Gyre's Palatino version)
\usepackage{caption}
\usepackage{subcaption}
\usepackage{xcolor}
\definecolor{CaptionBlue}{HTML}{005090}
\newcommand*{\RedCaptionLine}{%
\leavevmode
\llap{\color{red}\vline width 1pt\relax\,}%
}
\makeatletter
\newcommand*{\CaptionVLineWidth}{1pt}
\newcommand*{\CaptionVLineSep}{.2em}
\newcommand*{\CaptionVLine}{%
\noindent
\kern\dimexpr-\CaptionVLineSep-\CaptionVLineWidth\relax
\textcolor{red}{\vline width\CaptionVLineWidth}%
\kern\CaptionVLineSep\relax
}
\DeclareCaptionFormat{HangRedLine}[%
% Single line captions
#1%
\sbox0{#3}%
\ifdim\wd0>0pt %
#2\CaptionVLine#3%
\fi
\par
]{% Multi-line captions
\caption@ifin@list\caption@lsepcrlist\caption@lsepname{%
\caption@Error{%
The option `labelsep=\caption@lsepname' does not work\MessageBreak
with `format=hang'}
}{%
\sbox0{%
\parbox[t]{\linewidth}{%
\@hangfrom{#1#2}%
\advance\caption@parindent\hangindent
\advance\caption@hangindent\hangindent
\xdef\CaptionHangIndent{\the\hangindent}%
\caption@@par#3\par
}%
}%
\noindent
\kern\CaptionHangIndent\relax
\CaptionVLine
\kern-\CaptionHangIndent\relax
\usebox0%
}%
}
\makeatother
\captionsetup{
labelsep=quad,
labelfont={color=CaptionBlue},
format=HangRedLine,
}
\captionsetup[sub]{
labelsep=quad,
}
\begin{document}
\stepcounter{chapter}
\stepcounter{chapter}
\stepcounter{figure}
\begin{figure}
\begin{minipage}[b]{.5\linewidth}
\centering
\subcaption{A subfigure}
\end{minipage}%
\begin{minipage}[b]{.5\linewidth}
\centering
\subcaption{}
\end{minipage}
\caption{Illustration of the induced angle of attack
and the induced drag caused by the downwash velocity $w$}
\caption{Short caption}
\end{figure}
\end{document}
