Why do captions disappear on Storyline 360 slides?

If you are using the Try Mode setting where the Hint appears on hover, then you will want to make sure you edit the trigger to remove "hide layer when user hovers out" feature.  Also on the layers, you will want to make sure that the object's Exit animation is removed and that you right click the object in the timeline and select "Show until end".

If those tips do not address the issue, it may be helpful to look at one of your slides, if you can share.