In order to display the image caption, you will need to customize the Image module or use a special plugin, which is much easier.
Follow the steps below to enable Image Caption under the Divi Image module:
Install and activate the Free Divi Image Helper Plugin
Add the caption text to the image in the WordPress Media Library:
Now add the Divi Image module to your Divi Builder Layout.
Look for the Enable Image Caption option under the Elements toggle: