Hi, @am-bristol11  - Yes, auto closed captions are created with the new screen recording option in SpeedGrader. It takes a few minutes to process the subtitles/captions, but they are added automatically. When they're ready, you'll see a captions button when you play the recording.

There are no auto closed captions added when you record a video from a page or anywhere else in Canvas other than in SpeedGrader (unless you have Canvas Studio).  

Hope this helps! - Jen