Hi Chris!
Automatic closed captions isn't a feature in Storyline yet! We do have this logged as a feature request so I've added your vote and comments so that we can update you when it makes it on our feature roadmap.
If you've created a script that you're following in the screen recording, you can import the captions. However, I understand this will be a heavier lift than automatically adding closed captions.
I'm interested to hear what approaches other community members take when adding closed captioning to screen recordings in Storyline 360!