I didn't know it is soooooo complicated; there is no problem to create CC text, include it in timeline and preview it BUT how to render it so it is visible in video file and what video file format render it to....???!!!)
are there any workarounds so that what is seen on preview screen can be exported and seen in video file??
which video file export format will work

Guess the big question is what are you going to?

If you're going to a standard DVD, MPEG2 will get the closed captioning information.

it is in HD...so what in that case; I can see it in preview in Vegas; all I need is to capture being shown on final rendered video (I don't need the fancy trick for CC to be activated on demand while being watched on BD)