Hi there,
If you are publishing to a video format ( .mp4 ) output then it is not possible to insert the interactivity like buttons, or click boxes.
If you have published the .swf, .htm or HTML 5 and if you have embedded a video inside that then that can have a button or click box on the last slide.
Please elaborate more on your requirement and also tell the version of Adobe Captivate and Operating System.
Thanks.