When it comes to captions, there is no difference between regular images and videos. If you have told the skin to display the title, it will display whatever title you have entered. If you have told the skin to display the comment, it will display whatever comment you have entered.
In the jAlbum Explore view, choose Title or Comment at the upper right, and see what is displayed below each thumbnail. If you are using metadata fields to retrieve titles or comments, instead of entering titles and comments in jAlbum, remember that a video has no metadata.