I've got a Shield 2015 & a Harmony Elite remote and have been slowly setting up shortcuts for various common actions.
One I'm at a bit of a loss with now is how to toggle closed captions on YouTube (or at least open the selection dialog). I'm starting to think it's not possible with a single command, but figured it was worth asking here if anyone else had figured it out!
Have you tried sending the "C" character? On desktop, this toggles captions off/on...only a guess that it may do the same on the TV build, but worth a shot
A less elegant solution would be to create a sequence (through desktop app) to perform the down, left, left, enter, down, enter, exit...or whatever the keys are to get captions. Once created, you could assign the sequence you create to a single button on your Harmony remote.