It is very important to mention that I am not in the US...
Yes, it is very important. Where are you? If you are not in the US, UK, Canada or Ireland you currently will not have a captions option in the main menu.
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No, I don't work for Roku.
Netflix Player N1000X, XDS 2100X (premature death by lightning)
Roku2 XD 3050X, Roku2 XS 3100R, Roku2 4210R