I have found that when you add a YouTube video through either the Media icon or Interactive Video, all controls for YouTube, including the ability to turn on Closed Captions, are unavailable. The video merely plays in time with your slide.
Alternatively, you add a YouTube video using a web object from the Objects icon on the toolbar. Use the embed code which you can get from the YouTube video. It's available if you click on the Share icon and select embed. Make sure the video is large enough to show all the icons including the CC icon for captions.
You can customize the embed code to turn items like Closed Captioning on by default. You can learn more here: https://developers.google.com/youtube/player_parameters
One thing to remember about this method of sharing video, the owner of the video may not allow video embedding and this will not always work. They may also revoke access to embedded versions of their videos later and break the connection with your course.