How to add text/caption to a line/arrow in PowerPoint 2010?

You may've used one of the arrow autoshapes, but regular lines (and lines with arrowheads) have never allowed this. Under the hood, most shapes have what's called a "text frame", which is PowerPoint's container for text associated with that shape. Lines and arrows don't have a text frame and so can't contain text.

Shapes such as squares, circles, callout balloons, and block arrows* can contain text. When you type text into a shape, the text attaches to the shape and moves and rotates with it.

• To add text that becomes part of a shape, select the shape, and then type or paste text.

If you need any additonal help, or want to see how I came up with my answer, you can watch the video on this site, and/or look at this Microosft Help and How-To

*To add a block arrow, use Insert->Shapes->Block Arrows (PowerPoint 2010 and later).

You can create Line and Text box, select and Group them. It might not be perfect, but text will always stay with that connector line.