As with alt attributes, WP Accessibility will show a label in the editor for any uploaded video that has no captions or subtitles. This does not apply to video embeds, such as those coming from YouTube or Vimeo.

While WP Accessibility only shows this notice if neither captions nor subtitles are available, I consider it important to mention that subtitles and captions are not equivalent, and do not serve the same purpose. Be sure that you’re using the most appropriate choice or choices for your videos.

Video caption notification in the classic editor.
Video caption notification in the block editor.