Whenever you try to change the captions to Instant Replay with the * button during playback, the option does not stick and reverts to off.
This is with OS 9.4.1 4208-c2
It seems the option will stick if you select it from going left on the dpad, but not right on the dpad. Strange bug.
Guess this doesn’t bother anyone else...
Looks like it's fixed in OS 10, with added voice commands in case an app doesn't bring up the options menu for it.