There are a number of options for Photo Galleries in FrontPage.
Only two of them displays captions. Click on the second tab in the Insert Photo Gallery box (Layout) and make sure either Vertical or Horizontal layout is selected. Montage & slideshow does not have caption options, even though they allow you to type it into the caption field...(It is Microsoft, who knows why, unless it is a website function to allow text display if the photo doesn't load)