I think the images will already have a title (well, a caption) if you enable that, and ensure all the images/videos have a title set. You can set the title when you set up the relation I think.

To put a styled box around them, different to the standard thumbnail box, would require some extra custom CSS. If you have an idea what you want I can help you with this.

You could also try it with some other themes (on the test site) to see if you find something that looks nicer. (then either use that theme on the live site or we could add custom CSS to copy that style in your theme of choice)

Thanks

Joe