We recently got a Roku system update, so I did some testing.
I rebooted the Roku and checked the Closed Caption (CC) status. It was set to Always On. (correct). I then switched to our six most often used channels one at a time and checked the CC status after each switch, and the CC status was always on. That led me to believe that switching channels (apps) was not causing the CC status to change. (Note, however, that I did not actually select a movie or program and watch it on each channel.) It seemed possible that the Roku update had fixed the problem.
However, a few days later the CC status had switched to Off again.
Until Roku fixes the problem, the best suggestion I've seen is the one using the '^' button to switch languages and back.
