Your DVD player is probably set to "progressive" scan from the factory. Typically you cannot see Closed Caption if DVD player component out is set to progressive scan. Try change it to "interlaced" scan via menu setup and Closed Caption hopefully will work.
What brand and model # entertainment equipment (TV and DVD player) do you have? I saw a operating manual for new Mitsubishi LCD TVs and they do not support CC using component. Your TV may not be the only one not supporting CC using component.