This has been previously reported. Apparently it is a by-product of adding the collection object to VFP8. You can also do this as an alternative workaround:

FOR i=1 TO ALEN(lo.arr,1)
   laArray = lo.arr(i)
   laArray.caption = TRANSFORM(i)
endfor

>Is this a Bug or a Feature. In VFP6 and VFP7 runs !?!?
>
>clear
>lo = NEWOBJECT("test")
>
>DIMENSION lo.arr(5)
>
>FOR i=1 TO ALEN(lo.arr,1)
> lo.arr(i) = NEWOBJECT("label")
>endfor
>
>SET STEP ON
>
>* OK ?
>FOR i=1 TO ALEN(lo.arr,1)
> WITH lo.arr(i)
> .caption = TRANSFORM(i)
> endwith
>endfor
>
>* ERROR
>FOR i=1 TO ALEN(lo.arr,1)
> lo.arr(i).caption = TRANSFORM(i)
>endfor
>
>FOR i=1 TO ALEN(lo.arr,1)
> ? lo.arr(i).caption
>endfor
>
>
>
>DEFINE CLASS test as Custom
>DIMENSION arr(1) = .f.
>
>PROCEDURE arr_access
> LPARAMETERS nIndex
>
> RETURN this.arr(nIndex)
>ENDPROC
>
>enddefine