Created embedded but not burned in subtitles

When playing a video in VLC, one can select a subtitle track, from various tracks, and they are embedded in the file, not included as separate files on the side.

I can't see an option to do that in PP, they are either exported fully burned in, or as files next to the video, which is not very practical in the real world.

Is there some option I am missing?

Many thanks!  Dave