Hi Caleo,
I was able to fix this problem in my case. The first thing that I did was to remove the display: none; css attribute from here:
p.flex-caption {
margin: 0;
margin-bottom: 0;
display: none;
font-weight: bold;
}
This showed the caption on loading the page for the first slide. Also, I had an issue where the image on the first slide expanded outside the container on the bottom so I adjusted all my images to be the same size and now it is working nicely.
Forgot to add the reference to the file:
wp-content/plugins/captain-slider/includes/css/flexslider.css
Hope this helps!