When I download from there, I never get closed captions. Open your site preferences and look around for closed captions options.

I never used to get embedded closed captions either but today I started to get them embedded on two different computers that have completely different set-ups. I found a Google/Youtube page that said you cannot turn off the embedded closed caption as a preference. I also noticed on both computers that in addition to the video file, an accompanying ".srt" file was coming along with the download. I was able to get rid of the embedded text upon converting from the downloaded mp4 to a Quicktime movie in two ways: One was to trash the ".srt" file before conversion. The other was to find a button within my Wondershare converter that allowed to select for "No Subtitles" before the conversion. Otherwise, Wondershare defaults to the ".srt" file with embedded subtitles. Never had to do this work-around in the past, and I've done it many, many times. Maybe a new Google closed caption embedding standard?

munkee100 said

. . . an accompanying ".srt" file was coming along with the download.

From now on, delete the SRT files. These contain the closed captions. Open one in a text viewer. It's very interesting.