That is correct. The closed captioning only supports limited character sets.Korean and Chinese character sets can be activated with a command, but I am not sure how much more. The CC standards are US in nature. Europe etc uses a different system for standard definition.
While it does not address your specific question, I recommend reading the Captioning markup and reference section of the help file with Vegas.
Two episodes of tutorials on Closed Captions can be found on YouTube or my website. They may help with other issues you are going to run into.
Keith S. Kolbo
Sony Certified Vegas Trainer
https://amediaprof.com