Closed Captions are available with all Splunk e-learning course videos (It is the cc button next to video resolution settings). I dont think you can download the Video, but you can download the lab materials to practice later on your machine. Take notes while the video is being presented, same way you would do in a classroom. I think 30 days of WBT access gives you plenty of time to take notes. Also most courses are 8-10 hours long if they would be carried out in real-classroom setup.
Every Splunk course begins with the details of their interface so that you familiarize and test the tutorial before proceeding with the course. Hope this helps. Every course also has a Feedback option for you to get your concerns/issues related to Splunk course resolved, or you can drop an email to elearn@splunk.com.
Captions are not appearing for some videos. Did I miss doing any setting?