Image captions and comments/bookmarks are formatted with two standard styles called Image Caption and Comment. These styles are applied automatically to all image captions and comments and they are the only styles that these elements can use.
This means that all image captions and all comments/bookmarks in your project will have the same style. You can override these styles and change the formatting of individual captions and comments by applying manual formatting.
If you manage multiple projects that all need to look the same, check out Help+Manual's powerful style repositories. They allow you to share stylesheets between multiple projects and edit the styles for all of them in the same central location. See the Working with Style Repositories chapter for details!