You'll probably need to learn how to use ffmpeg in order to get subtitles from any site. VDH doesn't support subtitles. There is a tutorial on ffmpeg in here. Click this:
Search for "cannot download" within the text of that web page. That will give you another link to click, where you will find the tutorial.
But not every web site offers subtitles. And even when a web site does offer subtitles, it's not always possible to find them & pass them to ffmpeg. So, good luck.
If you post the URL of something, I could show you how to figure out if it's possible to get those captions. I would be using an approach like what you can find here:
Maybe that's enough clues for you to do this yourself. Otherwise, let's have that URL.