It seems there are two public properties on the player:
Select a stream from the AvailableCaptionStreams and set it to SelectedCaptionStream.
When you do it does weird things with the visibility of the CaptionsPresenter but it seems to reset itself if you do this:
SmfSubsPlayer.CaptionsVisibility = FeatureVisibility.Hidden;
SmfSubsPlayer.CaptionsVisibility = FeatureVisibility.Visible;