S3MediaVault supports Closed Captions. In this video, Captions have been enabled by default. You'll see a "CC" icon (for Closed Captions) in the video control bar, which you can click to turn off.
You can also set it to be disabled by default and the viewer can turn them on if they wish to.
The format of captions supported is WebVTT, which creates a file with the .vtt extension. Simply upload the .vtt file to your website, and specify the URL in the video shortcode.
The .vtt file can be created for free by uploading your video to YouTube (you don't have to make it public – just keep it as a draft). Let YouTube auto-create the captions. And then you can download the .vtt file from your video editor page.