Update:
This situation happens when there is one DASH stream starting with an advertisement. In the stream tester i've tested only one consistent stream without ADS.
Advertisement doesn't have CC/subtitle track but later movie has. Checked with Video component field availableSubtitleTracks.
Roku Video component does not reload info about it automatically, seeks bigger than couple of minutes help to reload that info and CC/subtitle starts to work.
It looks like some bug/feature in the native roku player.