Adding closed captioning to a video in storyline?

We are trying to export the storyline file as a video and have the captions automatically show and for some reason I do not see captions on the video.

We don't have access to many other programs. I have tried to add captions to the video in storyline and then publish it as a video, and still no luck.

Does anyone have experience with captions being shown automatically in a video? I have the VTT file but not sure what else to do!

Thanks!