We are working on this.
We have completely redesigned the captioning workflow in Premiere Pro version 15.0. You will see many dramatic workflow improvements. Please update to the latest version.
Learn all about the new captions workflow here: https://helpx.adobe.com/premiere-pro/user-guide.html/premiere-pro/using/working-with-captions.ug.html
An error occurred while saving the commentGreg Linhares commented
YES! Please provide .VTT export formatting option for closed caption files! This is a very much needed feature.