I have yet to run across a channel that doesn't say "NO DATA!" when I hit the Text or Subtitle buttons. And my TV's don't get closed caption, (being fed via the composite video). Maybe the CC works on HDMI on some channels? I don't know.
I also use the composite cable. My TV is an older rear projection set that still has a great picture, but there is of course no hdmi. My Pansat 9200 however, displays the closed captions correctly. Maybe the software of the Openbox doesn't pass it along the composite cable. I have a smaller lcd tv that has hdmi, and I can connect it to see if if works. I'll try to do that this weekend.