Welcome to the Zoom Community, @jaykay.
I think your answer is covered mostly by some of the responses so far, but I'd like to summarize them all in one place, if you don't mind.
If captions are not yet turned on and you attempt to enable them as an attendee, Hosts and Co-Hosts will see that a request has been made, and can approve or deny the request. If captions have already been enabled, nobody but you can see that you enable or disable the visibility of the captions.
Any my personal opinion is that often Host's forget to enable captions, or aren't aware that they can (and in my opinion, should) "pre"-enable captions at the beginning of the meeting. Don't be embarrassed or intimidated -- just click! If anyone calls you out or refuses to enable it... it's probably not the type of people you want to associate with much! Just my opinion.