When you insert the caption, the entire caption block, both the "header" and the caption's text, are given a single style:
Caption. Amending this style will allow you to change all your captions (depending on how you do it, this can be document specific or not), past and present.
To have the header and text appear differently you will need to manually (or maybe there's a macro about to help with this...?) add additional styling to either the header or caption.
What I've done before is to create a new style derived from ("based on")
Caption, which has the single effect of adding bold (for example) then, because it is derived, future changes to
Caption will cascade to the header as well. It's hardly perfect, and requires manually tweaking each caption as you create them to add the style to the "header", but it has worked for me in the past.