This has been an on going issue with AME 2015, which the new update did not fix. Basically captions exported as an MXFOP1a file will be stripped if exported using AME. If exporting off the timeline the captions will be maintained and embed into the video. Not sure how this got broken in 2015 CC but sure would like Adobe to fix this. And yes I have submitted a bug report (which mysteriously got closed) as well as had adobe tech support remote access my mac and confirm this.
Its broke!! Fix it please!!
Thanks