Yeah, the same thing happens in the SMF default theme, which the Halloween themes are based on. And unfortunately there isn't a way to fix it because of the way those scripts are written. The best thing to do is just click on the slideshow's forward button and then on the back button and the first caption will appear under the first capture in the slideshow. And also, these Halloween themes will only be in use until the end of October, so the slideshow will get back to normal in November.