I change the font through Fonts, Colors & System Metrics > Fonts & System Metrics > CAPTIONFONT:FONT
The font does indeed change, but I seem unable to change the font size, add bold, or any changes to the font.
EDIT: It seems to be the font that I am using. I added bold to Segoe UI and it worked. I'm not sure why it wouldn't work with certain fonts, I don't know much about them.
With said font, I am able to add bold to the clock, but not the Caption text.