Have you read the Help file on this?
You can't. This is not a feature of Adobe Media Encoder or Premiere Pro.
The extent of the closed caption features were explained to you in this thread:
If you want additional closed caption features, you can submit feature requests here: http://www.adobe.com/go/wish
The new CC import features of CS5.5 are useless to me without the ability to embed CC in the encode. This is the reason I purchased the CS5.5 version. If I had known this before I purchased CS5.5 I would have saved my money.
You were able to get Vegas do embeded CC's in your MXF? Everything says it's possible but I can't seam to get it to work. I just tried Premiere only to get "embededding captions is not possible with CS5.5"
Any help would be appreicated. This is the only hold up keeping my program from going to air.