In case you are using images uploaded to the WordPress media gallery, the captions are taken from the “Caption” field of the images; if, however, you are using images uploaded manually via ftp into a certain folder, captions are extracted from the IPTC caption field of each image (in some cases called “Description” as well) – e.g. in Adobe Fireworks you can input this field in the “File -> File Info” menu, “IPTC” tab.
please excuse me for a misguiding tip – I’ve checked once more and it seems that the new versions of Fireworks are using XMP metadata and not IPTC; in order to add IPTC metadata, you can use either Adobe Photoshop / Lightroom or a free specialized piece of software called PhotoME (just tried it myself, works perfectly to display the captions; please follow the instructions on the website to add meta to an image).
Alternatively, you can use the “WP Media Gallery” as the source of slides (choose the “WP Media Gallery” tab from the “Background Slider/ Image Source of Images” box while in the page editor mode). In this case the captions will be sources from the image captions or, if they are empty, from image titles.