There are web pages about HDTV and CC support but for most systems the CC has to come from the cable decoder box. If you connect via the standard definition, CC still works but no HD.

http://www.fcc.gov/guides/closed-captioning-digital-television-dtv contains where to file a complaint if you feel this is not implemented on your set but so far, I've yet to find the HDTV to be at fault. That would be a first as no maker would want to be found guilty.
Bob