Where did you see that information? That is misleading.
CAF is a container format, so it depends what format is actually in the CAF container. On Windows, Audacity as shipped will only open CAF if it contains PCM or A-Law/U-Law.
You can use MediaInfo from MediaInfo - Download MediaInfo for Microsoft Windows to see what audio format is in the file. Get the version without installer, because the installer may have malware.
If the CAF file contains AAC, then Audacity should be able to import it if you install FFmpeg: Audacity Manual .
Gale