Facebook videos by default play without any captions. However, this feature can be enabled if needed.
Here is how :
Login to Facebook and access Settings from the profile drop-down.
Next, browse to Videos section.
From Video Settings, set Always Show Captions to On.
Also, caption text size and color can be customized from Captions Display. Video playback quality too can also be set from here if needed.
Select Save Changes. From now on, captions will be displayed for Facebook videos that have them.
Happy watching and sharing.