Are they embedded captions? You have to explicitly point the Roku to the captions track when you set the content node, for example:
videoContent = createObject("RoSGNode", "ContentNode")
videoContent.url = my_media_url
videoContent.streamformat = "hls"
videoContent.SubtitleConfig = {TrackName:"eia608/1"}
m.videoplayer.content = videoContent