Editing Quiz Question Caption - New Adobe Captivate (2023)

The new version has multiple limitations also for quizzes.

Deprecating the theme features means that Object styles are no longer available. Previous versions had a dedicated category for all objects used in Quizzes. You tell in your question what has been left. I logged several bugs for Quizzes. Even more important to me is the loss of Advanced Answers features for MCQ questions with one correct answer. Creating custom questions is the alternative, but that has become a lot more complicated (loss of Advanced/Shared actions).

I found an answer to your styling question for feedback messages. You need to make the captions visible on the slides. In the Properties panel of the Quiz slide find the dimmed 'Caption' field under the Components section. By default 'Hide' is activated, but you can switch to Show and the feedback multistate object will be visible in your slide. You can now change the style of the shape (as expected it is not a caption in the old terminology but a shape) and the text, including the colors, both for the Quiz and the Review messages. However I didn't detect yet if there is a possibility to transfer the changes on one quiz slide to all quiz slides. Editing individual text is fine, but having the change the style of the feedback states would mean a lot of work.