When selecting font and style for captions include a toggle so that all captions can be changed automatically as opposed to individually

To change the caption settings (or any other slide settings) for all your slides or a group of slides, you should select them in the Slide List (press Ctrl+A to select all), open the Slide Settings window and change the settings. The actually changed settings are marked by a blue frame. When you click OK to close the Slide Settings window, MySlideShow applies the changed settings to the selected slides.