Is this issue happening on a specific channel? If other channels are working correctly, and you only experience the issue on that channel (app), that is likely an indication that the issue lies within that particular channel. In these cases, the channel provider will need to investigate the issue in order to help resolve it.
I have the Roku Express x3930 I believe, and my problem is similar to others in this thread except for several months my captions keep turning OFF for every single YouTube video. I had and have them turned to Always On in Roku settings, YouTube Premium settings on my phone app (captions settings aren't an option in the YouTube app as a whole on Roku), and captions are turned on in my TV settings. (I read that the TV settings need to match or it can mess it up on your Roku.)
I have to turn captions on during every.single.show by clicking the captions box by the thumbs up for each show, even back to back shows on the same channel and this wasn't a problem before. It's automatically set on the captions "on for replay only" each time I go in. I mostly watch YouTube but sometimes Hulu, Netflix, Bravo, and Discovery+.
It's only a problem with YouTube on Roku. Captions always work for the YouTube app on my phone. The TV and Roku are always on so there's no time where it would reset like if they were powered on/off daily. I have done factory resets and restarted the TV and Roku but it didn't help. I hate updates because they always break something important without any noticable improvements.
For more information about that channel's features and functionality, you'll want to contact Youtube support directly to inquire further. Many channels on Roku are developed and maintained by the channel provider themselves.
Although people seem to be having trouble with You Tube, we are experiencing the same problem with BBC i-Player. Captions on all BBC channels which we can't turn off but no problems at all with every other channel. Very annoying and distracting.