A link in an image caption will take on the gallery's textColor (in JuiceboxBuilder-Pro's 'Customize -> Lite' section) and will be underlined by default (like the link in the image caption for the first image in this demo gallery).
You can style an individual link using HTML formatting (inline CSS) as noted in this FAQ:
How do I add HTML formatting to image captions and titles?
If you enter your image caption directly into JuiceboxBuilder-Pro's interface, then you can use something like:
<a href="index.html" style="color: #0000ff; text-decoration: underline;">Link</a>
If you edit your gallery's 'config.xml' file in a plain text editor, then you can use a <caption> such as:
<caption><![CDATA[<a href="index.html" style="color: #0000ff; text-decoration: underline;">Link</a>]]></caption>
(JuiceboxBuilder-Pro will automatically add the <caption> and CDATA tags for you.)
Otherwise, you could set the styling for all links within your gallery at once using CSS (either in your gallery's embedding web page or in your gallery's 'jbcore/classic/theme.css' file).
Try adding something like the following to the end of your gallery's 'jbcore/classic/theme.css' file.
.juicebox-gallery a {
color: #0000ff;
text-decoration: underline;
}Be sure to clear your browser's cache after making any changes to ensure that your browser is using the most recent versions of your gallery files (instead of older cached versions).
I hope this points you in the right direction.