I have Captions Mode On Always and Language is English. Note that the SRT file does not have "en" in the the name. I read that if there is only 1 SRT file then it reads it and you don't need to have the language in the name.
I am using a PC with Windows and Media Streaming to get the file, not a USB stick.
Also note that when I am playing the video, under
* -> TV Settings -> Accessibility & captions -> Captioning track
it says "Track 1 " and when I scroll down to it, it says "Only Track 1 is available"
I'm not sure what Track 1 is. All my Captions settings are default and I have seen them before so they can't be hidden.