Are you trying to view on a DVD?
"Closed captions that you add to your DVD project will only appear on the final DVD; they do not appear in Encore, in either the Monitor panel or Project Preview window."
http://help.adobe.com/en_US/encore/cs/using/WS10C7FD4F-0F5C-40f6-BDB2- 6D1AD9D301E9a.html
