As indicated in the description of the Show captions option, captions are extracted from the IPTC caption field of the image file.
I am not totally sure (I need to study NextGen a bit more) but I think that NexGen stores its titles/alt in the WP database, not in the images themselves. But if your images contain an IPTC caption field, I think that it should still be there in the images managed by NextGen. Try adding a caption to your pictures in an image editing software.
A better integration with NextGen is something that I want to work on in the near future.
As mentioned in the FAQ of my plugin, in the case of the WP media gallery, the caption is taken from the field Caption that you can fill in in the media library. If this field is empty, the plugin will use the image Title which is filled in automatically with the filename.
So if you have set the options to show the Slideshow controls on together with the Slide caption, then you must see at least the filename of the image at the bottom left of the screen.