hi, maybe this helps found on cgtalk
here is an excerpt from the thread ->
"That's an easy problem to get, and I don't think the manuals say anything about it... how stupid.
But the main problem is that your "Reflected color" for your shader is set to black, so black photons go trough and illuminate nothing, so no photon info get's stored... easy.
So, to get caustics working, just pump up the "Reflected color" attribute."
something similiar I found was this general explanation:
If you get a message stating that "no photons stored after emitting 10000 photons" means that photons emitted by the source don’t hitany energy-storing object. One reason this can happen is the photon emitting source is emitting photons in the wrong direction.
wish U good luck with this! - and try google.com