Point, spot, and mental ray area lights can be used as light types for caustics with the mental ray for Maya renderer. A Directional light does not work as a source for Caustics because this light type does not have a defined point of origin (that is, the rays emit in a parallel manner).
You can visualize the photon mapping that occurs at the beginning of the rendering process provided you turn on the Enable Map Visualizer option in the Caustics and Global Illumination section of the Render Settings window. To view a visualization of the photon mapping, select Window > Rendering Editors > mental ray > Map Visualizer.
By default, the mental ray for Maya renderer rebuilds the photon map each time you render a scene using Caustics. If you are rendering a scene containing camera animation in which the objects and lights remain static, or rendering several iterations of a single image, you may consider turning off the Rebuild Photon Map setting in order to reduce the rendering times for each frame.