Ok. So the caption I'm talking about in the theme description are not the one you are talking about.
I assume you are talking about those ones, added by hitting the bubble on the top right hand corner of an image when you add a photo (photoset).

About those captions.
They cannot be displayed on the website directly (in the post), but they are displayed under the picture when you click on it and an overlay appears. This is a Tumblr restriction, as the overlay is.
Those captions work on my computer, as they are supposed to behave (ie, when the overlay is displayed).
You are right I could not see them on your blog. If it still does not work work you I would advice that you check once more if you really saved them in your post, the problem does not come from the code.
Also, if I designed the theme so it would display picture in a beautiful way it cannot be the case with 'photosets'.
A photoset is a photo post, with multiple photos in it. Those photosets are designed by tumblr and they cannot be changed or styled by theme developers.
If you want to display your work using the Focus Photography theme, I would advice you to use one post for one image, so no photoset are used by tumblr.