The drop shadow for the captions is not configurable from within the JuiceboxBuilder-Pro interface.
Edit the 'jbcore/classic/theme.css' file in a plain text editor and remove lines 215:
text-shadow: 1px 1px 2px rgba(0,0,0,0.5);
(The line number refers to Juicebox-Pro v1.2.0.)
3. Adding Images using WP-Juicebox.
Instructions for adding images to a WP-Juicebox gallery (for both WordPress prior to v3.5 and WordPress v3.5 or later) can be found on this web page (using WordPress's own terminology). Essentially, all you need to do is attach images to the post containing the gallery and the images will appear in the gallery.
4. Control of Padding and Margins
The margin around the main image is controlled by the imagePadding configuration option. The imagePadding value is used in all directions (top, bottom, left and right) around the main image.
In order to use this configuration option in WP-Juicebox, you would need to upgrade the plugin from Juicebox-Lite (which it comes bundled with) to Juicebox-Pro by following the instructions on this page and then add imagePadding configuration option to the Pro Options text area in your gallery settings.
There are no configuration options to adjust the padding around the titles and captions, though you can set maxCaptionHeight (to ensure that the caption area's height does not go beyond a set value) and captionHAlign (to horizontally align the titles and caption within the caption area).
If you wish to configure a gallery beyond the available configuration options, you might like to look into modifying the gallery's 'jbcore/classic/theme.css' file. Please see the Theming Guide for further information.
We plan to introduce new configuration options in the next version of Juicebox-Pro which will allow you to horizontally and vertically align thumbnails and main images within their respective areas. Until then, make sure that you set low values for thumbPadding and imagePadding to minimize the space between the thumbnails and main images.