how to export closed captioning in player sidebar

Hi Dawn, 

Thanks for reaching out! 

You'll see the option to export Closed Caption files when you click on a media file. Here's a screenshot so you can see exactly where the export option is:

You'll see the same export option when you click on audio files. With that being said, if you're willing to share a copy of your project file with us, I'll be glad to take a closer look at how the captions in the file are setup if using the export option doesn't work for you.