By saying " Captain Obvious" out loud, it basically adds a little humor to the moment, but it also does a check of the room to see if anybody else is hearing, seeing or feeling the same things.
Captain Obvious is a name invoked in conversation to draw attention to a self-evident fact. The phrase uses "captain" in the sense of a comicbook super-heroes. Somebody might say "Thank you, Captain Obvious!" to sarcastically thank someone who had just stated something self-evident.