Some of the videos are closed captioned, you can tell because when you start the video there will be a "CC" button at the bottom of the player (in the controls area). Not enough though, we would love it if everyone would caption their videos! Quite a few of the Azure videos are captioned, I have noticed, like this one:
We don't currently have a way to make it easy for you to download the captions in the UI although it is certainly possible. I will add it to our feature list. Thanks for letting us know!