Hello Steve,
many applications ignore the IPTC caption tags and will only show the filename as annotations, even if aperture is doing its very best to provide this information, e.g. the Apple Screensaver will only show the filename. In this case you really need to make the filename/version name equal to the caption or overlay the annotation as graphics onto the image (e.g. with BorderFX , as Frank Caggiano suggested).
However, there is no easy way in Aperture to create the version name from the caption; you can use "Metadata -> Batch change" to set the a custom version name, but you have to enter the custom part of the name manually, or you could try to create an Automator workflow that writes the caption tag to the version name.
What I do is, I use Aperture's "Smart Webpage" to publish my web galleries with captions and other annotations. For smart webpages you can define arbitrary presets for the information to be displayed with the images - all the IPTC and EXIF data are available as annotations.
Regards
Léonie