Although it is a requirement in today's television, it wasn't always the case, especially before the mid-1980's and some older shows may not have close captioning. Rebroadcasts should include close captioning, but that kind of depends on who is broadcasting and the kind of caption service they are using, and I have seen instances at times where there is no close captioning on older shows.
Try restarting your Roku device and see if that helps.
