I’m using SwipeBox as well and figured out how to make the captions appear (although replies marked as „private“ are not very helpful in an support forum“ ;-)
It worked with WP 3.7+ for me but now in 3.8 (Theme Twenty Fourteen) it’s broken again. Caption text shows up only in single pictures not in galleries.
Maybe you could give a step-by-step-instruction for a workaround – or maybe update the plug-in to fix the issue.
How to Get Support
After you register and login to the site, you may post all plugin support questions in the Support Forum.
If you need to provide private info, please create a ticket and then reply to it using Set as private reply option.