Here's how I managed to grab the Closed Captions with Chrome - if you're using another browser, you'll have to adapt the instructions.
1) Open the page with Chrome and press F12
2) On the upper menu of the console, select "Network" to monitor network traffic (you will be asked to refresh the page)
3) Type
/cc in the "Filter" box
4) Highlight the request whose name is a 9-digit number
5) Select "Preview" on the right menu
6) Copy all of it and paste into a text editor
7) Save the file in the .XML format
There they are, but you'll have to do some editing since the .XML format isn't readable by most players. Also, the file contains both the English (EN) and Spanish (ES) versions. Open it with Subtitle Edit to delete the language track you don't want. You also need to correct the time codes and line formatting going to "Tools" > "Merge lines with same time codes..." - press "OK" and save the file to .SRT as usual.
