Well we should clarify.
Direct caustics in reflections are not a problem. Maxwell can do those very well. For example a mirror will reflect a direct caustic in a simple scenario.
However, the caustics in the above image are much more complex.
Firstly, the reflected image you see in the left prism is actually due to total internal reflection.
Secondly, the caustic you see under the colimator has jumped many hoops ... it is actually a ray that has been refracted and then internaly relfected inside the prism and then refracted again as it exited the prism and then it hits the metalic support and it is being reflected on the horizontal part of the metalic leg (so you have a caustic reflection there). Now this battered ray needs to pass through the left prism, be refracted again and then be internally reflected and then refracted again as it exits and comes towards the camera ....
... this is a long darn process for a ray to go through. I am willing to say that no commercial spectral engine currently known to man is capable of showing that reflection.