There is a rule in the theme CSS turning them off below
#content .gallery-columns-6 .gallery-caption,#content .gallery-columns-7 .gallery-caption,#content .gallery-columns-8 .gallery-caption,#content .gallery-columns-9 .gallery-caption{display:none!important;}
I don’t know of an option to turn off caption in the theme, so Not 100% where this is coming from
@weaver, do you know what generates the caption hiding rule above?
In the mean time, you could add the rule below to the theme Global Custom CSS Rule box to override it
#wrapper #content .gallery-caption {display:block !important;}