Hey Fredrik,
first of all, thank you for the purchase!
As noted in the Theme Options panel description for the “Slides as links” option, the captions only display if the slides are not set as links. This is something that stemmed from the slider architecture and which, I must admit, I just took as given at the time I developed the theme.
However, I do agree that it’s a lame limitation, thus after a couple of hours of “detective work” I found the way to incorporate both the captions and the slide links. I’ve sent the fix to the email you indicated when registering on this forum. Please unzip it and upload into the theme folder (/wp-content/themes/Sensei/), replacing the existing file. Let me know if it works and my apologies for the bug!
Best,
Andrew | Satori