The issue with that is, these captions will not be listed in the slide shows, if that was what you were hoping for,
Not any, not even the name is available to be listed in a slide show.
So as organization goes,
You can search for names just as easily if not easier than anything,
The exception to this might be descriptive tags,
On the find tab section there is a tags listing, and if you click on it, all of the tags are listed but these are descriptive tags.
So for easy access descriptive tags are an easier faster way to find photos, because it has a generic list available for quick access.
I'll add that although captions are written into the properties of the photo files, there isn't a easy way to search for a caption,
Even people tags are not written into the photos properties, this information is kept in a folder outside the properties of the photos, worthless if you transfer these photos to another person or editing program at this point.
You would have to go to windows media center for this information to be listed in a slide show, and also burn your dvd there as well, but wmc will also list the name in a slide show, so your net gain for adding the captions as the same as the name of the photo files would be zero,
If you want this information on the face of the photos, and it would also print out on it, this would be worth doing,
But you would have to do this in microsoft paint, not either of the other programs,