Help & troubleshooting for channels on your Roku device, including adding/removing channels, logging in to, authenticating, or activating a channel, channel-specific playback issues, assistance contacting channel publishers to report issues, and adjusting channel-specific settings.
So I have a Roku Premier connected to an AOC television. Before I switched to ROKU the set was connected to a Dish Network system and the closed captioning worked just fine. I went to settings on the Roku menu and activated the feature there. Checked the setting on the TV and it says No CC information. CC is a feature I really need to work.
Content providers must offer closed captioning in their content in order for your device or TV to display these. If the content does not offer captions, then your tV would not be able to display any. You'll also want to check in the individual channel for CC settings. As @makaiguy noted, some channels control closed captions independently from the Roku system settings.
If you need more help, I would recommend contacting YouTubeTV support to inquire further, including asking for more information about closed captions support for the content that you are trying to watch.