Add captions to photos?

Not to profile photos.  You can do it in your albums though.

Go to Albums --> Album Manager --> My Albums.  Hover over an album you want to modify, click on the album name.  In the picture viewer, you will see the name or a placeholder for the name 'just above' the picture, when you hover over it that line will go yellow, click on it to change the picture name.

I can whip-up some screesnhots if you can't find it.