Render Selection should work on 'Yellow bar' real-time effects. If you want to guarantee real time playback you should be able to make a timeline selection eg. selecting all the captions on a layer and rendering the selection. Currently, captions are normally 'yellow bar' so Render Selection does not work.
Mike Dziennik commented
Render In to Out is not useful in the stated scenario. I only want to render the captions, not ALL of the yellow bar clips on the timeline - nearly every clip has scaling so has a yellow bar. If I Render In to Out it will render the entire timeline. I only want to render the 30 or so captions which also have a yellow bar.
Jim Simon commented
Render In to Out will include every frame between the In and Out points.