What's the difference between hardstatus and caption in GNU Screen?

Position, where these two statuses are displayed depends on your configuration. But the logical meaning of them is as follows:

• hardstatus: this line is used for status messages from screen - for example, to alert you to activity, or other similar messages.
• caption: this line is usually only shown if there is more than one window open and allows you to view details of them (like a currently active window).

You'll have the statuses on last two lines of the screen, if you configure them like this in your ~/.screenrc:

caption string ...
hardstatus alwayslastline ...

You can read further details on An introduction to the visual features of GNU Screen.

For me, using PuTTY in Windows, hardstatus is displayed in the Windows window title (hstatus string), while caption is displayed at the bottom of each screen window when the screen is split (caption splitonly string) or at the bottom of any screen window whether it's split or not (caption always string).

You can find further documentation in info screen.