You can have multiple actions on a cube, doing different things. As for the caption, you are limited only by your imagination (and any reserved characters).

The caption can also be MDX (which you specify by setting Caption Is MDX? to True). So you could have something like (pseudo code) "Show drillthrough for "+[Dimension].[Attribute].CURRENTMEMBER

This would show a contextual caption based upon what the user was clicking on.