I have a silly question - do you actually have anything connected to the TV?

If yes, to get the V-Chip working, you cannot connect your video source via HDMI, Component, or PC input.
That really leaves you with Composite/S-Video and ANT IN.
It's all on Page 49 of User Manual.

CC is a bit more complicated. If your TV source is digital cable/SAT, your digital cable Box/SAT tuner will typically decode the captions, not the TV. So poke around the settings on your Cable Box.

I am now trying to think if my SAT also has a V-chip function... I am pretty sure it does, but it is called Parental Control or something like that. Therefore, look for some Parental Control Lock on your Cable Box/digital tuner, and not the TV.

More on CC on Pg 56 of your TV User Manual.