I did a lot of work with my courses customizing both captions and the audio player itself. The CC options aren’t very customizable in Lectora itself, as they are ultimately controlled through CSS.
Here’s a link to the thread with a sample of how I customized the captions. When it comes to customizing, you can use Camtasia to generate SRT files relatively easily. In Camtasia, you can control the font settings for output, but an XML file may be more useful in the long haul.