No problem. I made a quick example gallery here:
Test Gallery
Normally I would have used this approach for trimming down a much larger gallery, like 500+ photos, but I did a quick 8 photo one to show what I am trying to do.
I marked the photos I want to delete by putting a caption of 'D'. What I used to do then was select the Bulk Delete option, which is now just 'Delete Photos'. At this point all the photos are shown at once with the filenames listed, but there used to be an option to show the captions instead of the filenames. With my larger galleries I would switch to showing the captions, then just flip through them quickly selecting the ones marked with the 'D' in the caption.
Hopefully that made sense. I know that you can move the cursor over the 'i' icon and see the caption, but that is a little slower when I have hundreds of photos in a gallery and may have marked 50 or so.
Thanks for your help, and hopefully what I said is intelligable.