There's 2 ways to do captions... closed captions and open captions. You can do both with Camtasia Studio.
Open captions are burned into the video when you produce, so there's no way for the viewer to turn them off. They're always on, and look the same wherever you put the video.
Closed captions are not burned into the video. Instead, during playback, the player draws the captions on top of the video. The closed captions can be toggled on/off by the viewer, but the look of the captions may vary between different players.
Here's a short screencast to illustrate the point:
Hope this helps.