Thank you people for trying to help. I found much better and much faster way to create CC than using Vegas built in feature which is lacking to say the least.
I installed the free DivXLand Media Subtitler and it is amazing with its Press And Hold feature. Only problem with it is that it is not smart enough to recognize non-latin characters and languages such as Chinese and Arabic. The program requires to make some changes to Windows settings to make it display such languages correctly and that is not convenient. For this problem, I also installed the free amazing Nikse.dk Subtitle Edit which which have no problem displaying any language. It's much more advanced than DivXLand Media Subtitler but it lacks the Press And Hold feature. I will never do CCs and subtitles in Vegas again.