Welcome to Apple Support Communities.
Use the Build Inspector to create a timed caption.
There are hundreds of combinations of options to explore. This is a basic fade-in/fade-out.
Open your presentation and click the slide with the video embedded.
(You can use Build inspector to start and stop the video. If you do nothing, the video starts automatically when the slide loads and plays until completion.)
Click on the text box containing the caption.
In the Toolbar above, click Inspector, and then Build inspector (3rd icon from the left).
Click the More Options button at the bottom of the Build Inspector to open a drawer to the left.
This opens some options with regard to timing how long the caption is displayed.
Unless you want every step to wait for your manual 'click', click on 'Automatically after transition' at the bottom where the Start Build label appears.
Select Build In, and an Effect method (Dissolve used in both Build In and Build Out for simplicity), and a duration (how long it takes the caption to be 'built' onscreen) of 1 second.
This is NOT how long the caption will be displayed. The method is by object. You can also have the caption displayed by word or by letter. As I said, there are hundreds of combinations that will work. This is a simple one.)
(If you only do Build In without Build Out, then the caption will remain until the slide changes, not what want)
With the text box containing the caption still highlighted, to set the fade-out effect, select Build Out, and an Effect method and in the left drawer, set the delay (10 seconds shown) before the Build out effect removes the caption.
Click on the 'Play' button in the upper left of the Keynote Toolbar to test your creation.