Using Comcast's DVR, it's almost impossible to toggle closed captioning over a digital connection (HDMI or component) - the CC setting can be accessed only with the box turned off, and the menu system is really flaky.

With an analog connection (S-Video or composite), I can toggle CC at the TV. But will this effectively eliminate the advantages of HD?

S-Video and Composite will only pass 480i. So you would lose a lot of resolution.