The NextGEN Pro Slideshow and Pro Filmstrip galleries both have captions options.
At first the option might not be so obvious that it's there, but once you turn captions on you are provided with 4 choices on how to display the captions.
Take a look:
So once you hit the Insert Gallery / Attach to Post button, you select the display type which for this example is either the Pro Slideshow or Pro Filmstrip galleries. Then you select the gallery you want to display, and then under the settings for the gallery you turn on the captions.
If you always want to show captions, then you can turn it on by default under Gallery Settings. However, be sure to do that prior to inserting the gallery using the Attach to Post interface because otherwise it will not listen to your new default setting.
If you are using shortcodes, then the default Gallery Settings will affect the galleries once NextGEN's cache is cleared.