It's in there... just don't think it's called split screen.
Anyway -- Place both videos on top of each other in the timeline. Turn on wireframe+image for your canvas. Click on the top track and move the wireframe to the position you want.
After matching up your 2 clips, scale them both down to 50% or so (look under the Motion tab on each clip). Then use the settings to place them where you want on the screen. I used (-180, -20) for the left side and (180,-20) for the right side. This also allows you to use the Lower 3rd text generator to write captions below each clip.