The new captions process is a massive upgrade from the old one. That said, a lot is so different that finding the various functions that have been added is frustrating. And rather less than "obvious".
First, they do have a web page of information, I'd suggest everyone go look through this including the videos. There's a number of itty-bitty required steps that are shown or mentioned in the videos that didn't make the text list of steps, as always.
Then there are things 'buried' in the process ... for example, it doesn't look like you can have mulitple caption streams on the same sequence, and there's no buttons or options on the main menu that you can find to do this. BUT you can, if you know how to create additional ones.
After going to the Captions workspace, and clicking the button to create a captions track, that button goes away. BUT ... IF you right click in the header of the captions track, you will get a sub-menu of options, including "add track", which as you're in the Captions track area, adds another captions track.
And of course, you do need to use the Captions workspace to see some of the options, and it uses the Essential Graphics Panel (EGP) for all settings such as location on screen, fonts, sizing, and such.
If you don't see something in PrPro, it's often wise to start right-clicking in variuos places to see what sub-menus may pop up.
Editing, Effects and Titles, FAQ, How to, User interface or workspaces