Hello,
In KMC->content->click on your entry's name and go to the 'Captions' tab on the left pane. There, upload the captions file you'd like to use as default and under the "Actions" column, click on "Set as default" and save it.
In KMC->Studio, edit your player and enable the Closed Captions plugin. If you want to audio to be muted, you can check "Start player muted".