balanap - If you upload your video first to SharePoint and then paste the link into a Yammer post you'll have the closed captions as you expect.
However, if you upload the video directly to the Yammer post itself (paper clip icon), then for 24 hours they are using a legacy solution to serve the video that doesn't respect the new settings in SharePoint for captions/chapters, etc. After 24 hours then they do show the video from SharePoint with our new player. This legacy solution was put in place many years ago by Yammer to protect from throttling issues with SharePoint backed videos. Now that we've fixed those problems in SharePoint and don't suffer from throttling issues, Yammer needs to undo this code and just embed the new Stream player for SharePoint videos. I'm asking the Yammer team what's their timeline for making that change.
The new Viva Engage stories that will be in Yammer/Viva Engage won't have this issue either when those are released as they use the new Stream player and you can generate and show closed captions for those videos.
Sorry we don't have all the tech aligned on all the code paths yet!