Hi Christopher, Thanks for posting here in the Microsoft Community, try this to apply the new caption style:
Simply Go to Settings > Accessibility > Captions, then Change the style to what you want.
Restart your PC, this often forces the change to take effect, if it still doesn’t update, click Edit under the style and tweak something (like font size or color), then save.
Hope this helps you out, let me know if you need more help.
Chard