Recently went through this issue and figured I should report it here:
I was working on a project recently using a source master with embedded captions (XDCamHD50 NTSC 60i).
I did some graphics work/title overlays, but needed to preserve the captions when re-exporting to the same format (XDCam50 w/embedded CC).
Sending the sequences to AME resulted in the underlying footage from the source master as appearing offline. Graphics and slate showed up no problem. Disabling the AME setting "Premiere Pro/Import sequences natively" would bring the media in, but not the embedded captions.
Note that I could export using the same preset directly from Premiere Pro with captions embedded, without issue.
The only fix I found was rolling back Premiere and AME to 25.1. So this may be a bug with 25.5.