You can select a data column, then select Cols > Column Info. Change the data format attribute to suit your purpose. It should be respected in reports and plots.
If you are talking about the reported means and %CV results, then double-click on a column of results in a report and change the format.
I think that you are correct. I just searched and I could not find a way to modify the format of the caption box. Perhaps someone else here knows of a way.
You could instead add your own text by right-clicking in the plot frame, select Customize, and add a new graphics script. All you really need is a Text() function in this case. You can draw any text you like anywhere you like. You can look it up in the Help > Scripting Index.
You might want to add this request to the Wish List in the JMP Community. If it is already there after a search, then add your vote for it.