Is this happening across the board on all channels, or just on some particular ones that you tend to watch?
The Roku default method of accessing your overall Closed Captioning options from the Roku home screen is via Roku menu path "Settings > Accessibility" and use the "Subtitles & Captioning" section on the right of the screen.
While viewing a program, press the * key on your Roku remote and examining the options presented which can vary depending on what that channel supports. You may have to look in Accessibility.
But more and more channels are not using the Roku default, and CC can only be set while viewing the program. These channels 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.
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.
If this post solves your problem please help others find this answer by clicking "Accept as Solution.".
Ultra 4800 | Streaming Stick 4K+ 3821 | TCL Roku TV 43S245/C107X