That's because the Closed Caption text is tied to the audio file which is also tied to the main timeline. That's just the way Captivate is built to work. You might want it to work differently, but it doesn't and there's not really any way to change that functionality.
I don't remember your earlier post that explained why you don't want to inserting the video as Slide Video. But if you want Closed Captioning for a video, that's the easiest way to do it in Captivate.
@RodWard Probably because we switched to French, to make it easier for @Aschilles Here is the link:
https://community.adobe.com/t5/captivate-discussions/back-button/m-p/12998573#M297906
It is the progress bar which led to the HTML animation solution. I proposed a bookmark menu for the interactive video but that was a bridge too far for a new user.