This is an old thread, and there are two major problems with my answer here.
1) I discovered after this time that it was always possible to combine the split up caption stream. Select the SEQUENCE in the Project Panel. Then File -> Export -> Captions. You'll get a caption stream with all the captions in one file and the timecodes from the SEQUENCE. There are some gotchas, primarily that the only captions to export are from one layer. Then you can import that exported file and use it.
2) My method, "duplicating" the stream inside PR results in problems - especially edited captions not showing up correctly. So, yes, avoid that.
The public Premiere Pro Beta has a new caption workflow that is using the essential graphics engine. This eliminates many of the problems with captions, in addition to adding new features. But because of those changes, I don't expect any changes in the current caption system. Note that the Beta is a major version change (version 15). So if you work with a project in the Beta, your project will NOT be backwards compatible with the current shipping version of Premiere Pro.
Of interest for your purpose, it will import an old project with "old" captions. But they are not strictly speaking essential graphics objects.
Stan