Elgato Game Capture HD cannot show Closed Captions or Subtitles, unless that text was "burned in" to the video before it was captured.

For example, if a video game has an option in its settings to show subtitles, then those subtitles will be burned into the video that Elgato Game Capture HD captures.  They will always appear, every time you play the video.

If the source video has an invisible data track that contains Closed Captions or Subtitles, then Elgato Game Capture HD cannot make that text visible.