It appears from your question that you’re talking about a “headline” that appeared as an overlay, not “captioning” that is trying to display all the words spoken (for the deaf or hard-of-hearing.)
Headlines follow their own rules
Headlines are not sentences, and they have their own distinct rules that vary from place to place (even from one newspaper or channel to the next.)
You should not attempt to learn English usage from headlines, nor expect headlines to follow other English rules of grammar!
In TV news, Headine style can be used in stationary graphics that go with the story, or as part of a “news feed” that scrolls or “flaps” on the screen. Here is a fictional example showing these types:
- user Nandhp, Wikimedia Commons
These headlines are sometimes called the Crawl, the Ticker, or the Chyron (named for a type of equipment in the TV industry.) They will typically follow the in-house style of the news organization.
In your example:
Rehearsals have taken place in Windsor for wedding.
This seems strange at first glance, but it’s pretty normal for TV news, especially without the final period.
If this is one of a sequence of messages, then it might be expected that the sentence emphasizes “Rehearsals” and “Windsor” (the what and where) if the audience already knows they are watching a story about the royal wedding (if this is the “why”, it can be at the end of the sentence).