Captions from Facebook and Instagram are not imported automatically, if you would like to have them in your photo book, check How can I import the captions from Facebook and Instagram?
You can also add the captions to the pictures that you have already uploaded while browsing your book. Click the 
button in the upper, left-hand corner – now you can flip through the pages of the digital version of your book. On each photo you will see a pencil, a star, and a trash bin 
. The pencil is to “customize”, the star is to “use as cover”, the trash bin is to “delete”. Click the pencil on any photo: now you can add a caption, delete it or set it as a cover.
Another way to add captions is to click the 
button in the upper, left-hand corner and you will find yourself on the editing page. Click on the photo, and “Say something about this moment…” in the space to the right of the photo.
Don’t forget to check “Show titles” when editing your book (it is enabled by default)!