Yes, but the thing that is very strange is that with the previous box, the one I use to have for normal digital cable, the caption with the same set worked correctly. I had the caption ON in the box and the TV blocked It OFF, via the menu.
Moreover, all other TV's I owned or currently own do not let the caption on, unless it is switched ON via the TV menus.
I this point, after testing with my others TV's, I know it must be a Sony problem. I will call them and find out how to solve this problem.