Hi Ben,
Welcome to the Apple Community, where some of us do our best to help each other troubleshoot.
Sorry I'm no expert with all the know-how on transferring captions intact, or if it can be done (also curious, now).
A bit more info. may attract such an expert to contribute here..
Wondering where you looked for the captions for the photos now on you Mac.
In this Apple Support article:
Add titles, captions and more to photos using Photos on Mac
https://support.apple.com/en-au/guide/photos/phta4e5a733f/mac
Says" You use the Info window to view information about photos".
- In the Photos app on your Mac, double-click a photo to view it,
- then click the Info button in the toolbar or press Command-I.
Guessing this was where you discovered there were no captions ?
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Wondering in which way you transferred the photos:
Eg:
- Did you import the iPhone Photos into Mac using the "Photos". app
(or maybe "Image Capture" / sync via iCloud ? or AirDrop etc.)
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Overview of importing photos and videos into Photos on Mac
https://support.apple.com/en-au/guide/photos/phta58cd90d3/6.0/mac/11.0
Change preferences in Photos on Mac
https://support.apple.com/en-au/guide/photos/pht5156cc968/6.0/mac/11.0
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So, that's a lot of photos!
These article may be useful:
View photos by location in Photos on Mac
https://support.apple.com/en-au/guide/photos/pht4c00b8ddc/6.0/mac/11.0
Find photos by keyword in Photos on Mac
https://support.apple.com/en-au/guide/photos/pht8d0ad5198/6.0/mac/11.0
All the best :)