I have a new TCL Smart TV and the closed captioning doesn't work only on live Fox News. The Accessibility menu shows Captioning Track not available. This happens on both my new TCL and my older Roku Ultra. Software version 11.0.0 Build 4193. My iPad using the same Xfinity service and LAN shows Closed Captions. Closed captioning works fine everywhere else! Help it's very frustrating since I'm hearing impaired.
I think you should ask Fox News why captioning isn't available on the Roku platform. If the menu is showing that no track is available then Fox isn't providing one or isn't providing one that's compatible with Roku devices.
If this is truly live, there may not be any closed captioning. CC creation is not instantaneous as it must either be typed in manually, or be created by speech recognition software then added to the feed. In either case this can cause the CC to seriously lag behind the video, which some people can find very disturbing. I turn CC off as useless on live sports for this reason, although I use it on nearly everything else. CC on pre-recorded material can be synced to the video so that it matches up when played back.