Take a Slider module, no matter which one of them. If a Caption is based on a Body field, and There are many images and only one body field, How would you make different captions per every image?...
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You would use the file entity module to allow you to add fields to files, then when uploading an image you can add data to whatever extra file entity fields you have added.
Then you can use that data in your views (most slideshow modules use views I would say).
Using the Media module, you can add fields to images, such as description or caption. https://drupal.org/project/media
Alternatively, you could use the Field collection module to create a 'Gallery image' field type, which has the extra fields that you need.