FCP can capture HD video with closed captions, but it will store the captions in Apple\'s QuickTime 708 track format which is not read by Avid systems. Conversely, Avid can capture captions in a DNxHD file, but those captions won\'t be read by FCP. In both cases, converting or editing the file will wipe out the captions.
To my knowledge there are no 3rd party tools yet which can manipulate the captions in a Avid DNxHD file. I hope this will change in the future.