If you choose one pic / slide rather than fit to slide you can include captions.
If you really need full slide images you could write code to read the alt text and insert it
Something based on this (untested code)
Code:
Sub add_Caption()
Dim L As Long
Dim strAlt As String
For L = 1 To ActivePresentation.Slides.Count
strAlt = ActivePresentation.Slides(L).Shapes(1).AlternativeText
If Not strAlt = "" Then
With ActivePresentation.Slides(L).Shapes.AddLabel(msoTextOrientationHorizontal, 100, 10, 100, 20)
.TextFrame.TextRange = strAlt
End With
End If
Next L
End Sub