when you run the slideshow, there is a little 'person' icon with a talk bubble... hover over that, and then there is a checkbox to 'autoshow captions'. click that checkbox.
you can also access the same checkbox by moving the mouse to the bottom of the slideshow window, along with speed controls, and other options.
(anticipating next question) no, there is no way to set these options as a default... yet. I say yet because there have been several posts in the forums asking for the ability to set options as defaults, and typically ZF puts out a new feature, then when people have used it and come up with enhancement requests, down the road they do 'updates' to that feature. but I can not tell you with any certainty that anything is in the works or when it will be available. :)
~Kevin
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