Some themes in WordPress do not display the caption on the Featured Image.
This can be easily added with the FSM Custom Featured Image Caption plugin.
Simply install and activate the plugin, then from Dashboard -> Settings -> FSM Custom Featured Image Caption, check the “Show image captions in lists” option. Save Changes and the captions from the media library will now be shown with the image. Good to go!
Link to a great article on the topic, which gets the credit for recommending the plugin.