There does not appear to be an easy way to create a caption for images in Impress (I am sure one can create a separate text box, but a caption feature would be nice that would automate positioning/default font/etc.). This is based on http://ask.libreoffice.org/en/question/8637/can-impress-pictures-have-captions/ (I'm not the asker, but it doesn't look like the asker filed it) and my own experience looking for a caption feature.
Fair enough, it is a valid feature request.
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