This will be an option with exporting for Print, Legacy Proofer Export, Web or Splits. You can add file names to our v10 exclusive proofer by turning them on before uploading an album. This can be done using the N key or going to View > Toggle File Names.

In the Export Options box, there is an Export file names toggle.

Album spreads that have been exported with the file names turned on will have an opaque black bar across the bottom with the image file name in the lower-right corner. Please note that this is actually a part of the image, so we advise that you check your final album spreads before ordering a final client album in case you have this toggled on and did not want the image file names showing on your album pages.