It is able to use Highslide, which is my preferred method of display and used for other entries here, but I have yet to work out how to get the image captions to display in the pop-up by this method. They appear by default using Thickbox and also in my other blog entries using Highslide.
Update: By installing the latest Highslide/Wordpress integration, Highslide for WordPress *reloaded*, I can now get the images to display titles. Unfortunately, these cannot be drawn from the WordPress ‘caption’ element, only from the ‘title’ or ‘alt’ tags of the images, not a big deal, just some cutting and pasting required.
There is still no capability of navigating through the thumbnails whilst in Highslide mode, but I guess this is because they are treated as individual images, rather than as a set of images.