That's because it's the width of your image. You can force it larger if you'd like. Each widget has an ID number created for it when it is added. If you look at the HTML in the page source, you can see what ID was assigned. In your case, it's "image-3." Here is an example that adjusts the width of the caption for just that one specific image widget:
#image-3 .wp-caption {
width: 100% !important;
}
And here is an example that would change all image widgets in the sidebar to be wider:
.widget-area .wp-caption {
width: 100% !important;
}
Note that you right aligned the image in the widget settings, but that affects the image and text as one block when a caption is used. Another alternative to avoid all of this stuff would be to add the text in a separate text widget below the image and not use caption text at all. That would also help you keep the right-alignment for the image if you wanted to keep that.