I've just successfully figured out how to do this: (I'm on Windows 10 and Kdenlive 20.08.2)

Check out my video here to see what it looks like: https://youtu.be/0pmMV8IKQbI

How to create burnt in Subtitles in Kdenlive

1) Use Aegisub (http://www.aegisub.org/downloads/) to create the text and the timecode locations.
- Select File / Export, select .SRT as the format and name the file
Aegisub allows you to import your completed video file so you can create the titles and assign the timecode locations.

2) Open the SRT to MLT generator (https://kknbb.party/stories/shotcut-qui ... converter/)
(the generator and the SRT file must be in the same directory)
- Open the above .SRT file

3) When prompted, enter the # of frames
- The # of frames MUST be the same as selected in Project Setup
- Click OK
- This will create a .MLT file in the same directory

4) Use Notepad++ to open the .MLT file
- Use Find and Replace to change the Font and or the Font size
- Then click File, Save

5) Drag the .MLT file to the Playlist bin in your project
- You will see an error message stating that the frames are incorrect, cancel that prompt
- Add a new video track to the timeline, then drag the MLT file to it.

6) The subtitles should now display at the correct timecode locations over the video.

Wow, thx for sharing this