The new version of SFQuery no longer shows Field Captions in the field list. I traced through the code to see if I could figure out what has changed in 5.1 and so far I have found this code executing in sfFieldCollection.GetGetFieldCaption:
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* If DBCXMgr is alive, try to get the VFE caption property.

case llSDTNew
lcCaption = toMeta.DBCXGetProp(tcDBC + '!' + tcField, tcType, ;
'VFEcDlgCaptn')
lcCaption = nvl(lcCaption, '')
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I am not running VFE, I am using Visual Extend.