See my screen here - Imgur: The magic of the Internet
Not sure what's going on, any help would be much appreciated.
Try following this tutorial and let me know if you have any further questions.
As of now, you should highlight each line and then select the new font from the drop down. You cannot change the font of all lines in one go, you have to change the font per line, individually.
I was on the road when this was posted, and just got caught up.
I don't know when it changed, but in 2018.1.2, you can click the first caption in the caption panel, and shift-click to select all of them. Change any attributes in one go. Very helpful change!
And you can still change line by line (even within a single caption) for flexibility.