I just tested in PR 23.0. Added a 608 caption track and exported as mxf op1a with captions embedded. I confirmed the 608 is embedded using switch, mediainfo, and reimporting to PR.
Also, playing in VLC media player confirms that the captions are not burned in.
Some users, including me at one point, incorrectly thought that captions were being burned in. What was happening was that a sidecar file WAS exported at an earlier step, and since it was still present, VLC player (for one) would see that and display the captions - the captions would appear to be burned in, but were actually being displayed from the sidecar file.
One test: when you set up to export and select embed, do you see the captions in the Preview window? If not, they are not being burned in.
If that is not it, what version of PR are you using?