The add on gets the info for captions from the Title and Description fields for each image. You can edit these by editing the properties of each image file in the Concrete5 File Manager.
Find the file you need and click once to bring up the menu. Choose Properties and you will see a list of the available attributes.
Click the Title and Description fields respectively to edit them and once you are done, click the tick mark to save your edits.
The captions panel is styled with a class call .bgsCaptions with an H2 for the Title and a P tag around the Description.
You can change caption styles by overriding these in your theme css.