I also have a Roku 2 XD and CANNOT get this to work! Still pops up yellow Netflix captions every time. I even tried it on Family Guy and House of Cards to be sure.
What version of Roku software do you have? I have Version 5.3 Build 3063.
I even deleted the Netflix channel and set it back...
I'm also new to the Seattle area, though I was born here, never lived here til now. Would love to meet more deaf. Welcome any contacts out there from deaf community. I'm currently downtown Seattle.