Yes, it was using component video out at 480i. I have both HDMI and component outputs connected to my TV, so if there are no subtitles on a disc, I change the TV's input from HDMI to component video to see whether there are closed captions available. I also have a 970 and BDP-93 which, when connected identically, are able to display the captions on the SNL discs. There's just something odd about the way the captions on those discs were encoded.
My computers showed odd behavior with them as well. On my PC, PowerDVD showed no captions, but VLC played them without incident, My Mac wouldn't show the captions with its default player, but would with VLC. For some additional confusion and misdirection, the boxes list subtitles but no CC, which is exactly backwards.
If I wasn't clear, I can view the captions on any other discs that have them.