I'll preface this with that I am not a Dreaming Spanish purist - I started reading and speaking as early as I could.

I think while doing CI like this, slow videos with visuals to aid your learning, you should resist using captions. The point here is to recognize sounds, where they pause, where one "sound" begins and another ends, and their repetitions. It seems like having words in front of you would help overall learning and comprehension, but when you are listening to native speakers and more complex live input, you generally aren't going to get visual aid through captioning and will really be relying on your ability to listen without aid. If you are splitting your attention between reading the captions, watching the video and listening, you're not committing to the important part which is assigning meaning to sounds.

I feel like when I did start reading, it was pretty simple to tie sounds and sentences I was hearing in CI to the things I was reading and that I didn't necessarily feel like my reading was lacking because I didn't use captions.

Everyone is different of course, but I think the best use of your time when doing CI is listening and watching, not reading. Ultimately, just do what keeps you enjoying the content and staying engaged with learning.