Only quite recent iOS versions have supported displaying Captions (Keywords are not yet supported).
I tested this in iPad Pro running iOS 15 by taking a photo and adding a Caption.
I then downloaded the image via my normal workflow /Applications/Image Capture but the Caption did not copy.
But sending the image via AirDrop to Mac mini 2018 running macOS 11.6 did copy the Caption (exiftool output below) so I'd expect routing the image via iCloud might also work (I don't use iCloud and manage Captions, Keywords among all other metadata via GraphicConverter or exiftool):
exiftool -a -G1 -s IMG_0974.JPG
[IFD0] ImageDescription : Caption iOS åäöÅÄÖ.
[IPTC] Caption-Abstract : Caption iOS åäöÅÄÖ.