We watch many streaming channels and have added them using the M3U feature. While we do get subtitles/captions for some streams, for many they are missing (Android TV, web browser).
Rather than being embedded in the video stream they are in a separate stream of text files. In the master playlist and they are described using the #EXT-X-MEDIA:TYPE=SUBTITLES tag.
I checked. They are there, but Channels DVR seems to be ignoring them.