If you're looking for the little "T" that you used to click on in ProShow 4.5 to make your Captions work with the transitions, you won't find it next to your caption text anymore. In fact, you won't find that little "T" at all anymore.
In ProShow Producer 5 you'll find this setting in the Caption Settings Tab, under the Caption Setup heading. It is now called "Slide Transition - Included in slide transition effect". While all of this change can be headache inducing, I think this was a good one:)