No. It's that simple: No.
The Program Monitor shows you what is in the Timeline. If captions are present in the Timeline, they will necessarily be shown on their own track, with the caption blocks delineated as in the screenshot I posted. To put it another way, if a caption track item does not exist in a sequence, then there is absolutely no way captions will be present in that sequence.
That is true regardless of whether the captions are embedded or sidecars. For purposes of getting captions into a sequence, the only difference between the two types is that with embedded captions, track items should be automatically added to the sequence along with the video, whereas sidecars have to be added on their own.
[I know you're running C2014, jbellomo, but for the benefit of others who might come upon this thread who happen to be on CS6 or earlier, the way that captions are handled was entirely different prior to CC (7.0.0).]
So the unanswered question is why caption track items are not being created for your MXF clip with embedded captions. If you post a clip for us to download, we'll investigate.