Under the Accessibility and Captions (press * button on Roku remote during episode), it indicates that the Captioning Track is "Not Available". Therefore, no way to get closed captioning/subtitle to work.
Why it is not there or available, can't give you an answer to that one.
Roku Community Streaming Expert
Just another Roku user... I am not a Roku employee.
Insignia RokuTV, Ultra 4660x, Premiere+ 3921, Express 4k+ 3941