@Jime943-
The default access to Roku Closed Caption settings is via Settings / Accessibility.
The Roku method of accessing Closed Caption settings or other Accessibility options from within a particular program is to press the * key on your Roku remote while viewing the program and examining the options presented.
But more and more channels are not using the Roku defaults but instead substitute their own method of access -- I'm guessing this is so they will have consistent controls with versions of their app running on platforms other than Roku. Often these options are accessed by pressing the up and/or down cursor control keys while viewing the program to pop the channel's own control options on the screen.
For those channels not using the Roku defaults you may need to go to your account on the channel's website to set CC variables like size, font, and color.
Roku Community Streaming Expert
I am not a Roku employee, only a user like you. Please, no support questions via private message -- post them publicly to the Community where others may benefit as well.
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Ultra 4800 | Streaming Stick 4K+ 3821 | TCL Roku TV 43S245/C107X