Closed Captions = "hidden" coded signals for captions. These are desgined to specific standards that explain how to add these captions to the signals so that TVs can find and decode these captions.
In old analog video - 480i video - the caption information was hidden in a part of the signal called the Vertical Blanking Interval" (VBI). This is the black bar that used to roll up the screen when you need adjust the "vertical hold" and was used to sync the two fields of interlaced video from way back in 50's. The VBI is a part of the video information. The VBI is included analog broadcast and on composite video and S-video, so the closed captions are included.
Later analog video - component video in 480p, 720p, 1080i and 1080p do not require and so do not have VBI and thus have no place to "hide" the CC information. No standards for how to add "hidden" captions to these analog video signals has been created so TV manufactures cannot design decoder - you cannot decode something if there is no standard for encoding that something.
On digital broacasts, CC is hidden in a "side band" that is NOT a part of the video information. The digital receiver that decodes the compressed digial video can also find and decode the CC in the side band. Remember, all digital video from outside of your home will arrive to your home as "compressed" video and then needs to be de-compressed before it can be shown.
HDMI = non-compressed digital video - this is the video after it is de-compressed. There is no place in a non-compressed digital video signal to "hide" the CC information because there is no VBI and no Side Bands. The only way to send caption information over HDMI is as "Open Captions". This is why it is responsiblity of the equipment that de-compresses the digital video to also handle the Closed Captions.
The Television is required to handle the closed captions when received via the Antenna input because the TV is handling the decoding of the original signal as it arrives in the home. However, when the decoding of the orignal signal is handled outside of the TV, by your cable box or satellite reciever, it is that device that is resposible to decode the closed captions and send them to the TV as open captions. Televisions cannot be desgined to "decode" closed caption information if there is no standard or way to "encode" that informtion into the signal and for HDMI and Component Video for HD there are no standards for closed captions.
As for your DVDs and Blu-ray players, they are not required to decode closed captions, only pass them on IF THERE IS A STANDARD. The only standard is for composite and S-video where there is a VBI.
The Pioneer unit that does not have a Closed Caption decoder is not a TV it is a Monitor. It does not have a TV tuner to recieve signals directly from an antenna so it is not a TV. TVs are required to have Closed Caption decoders, Monitors are not required to have Closed Caption decoders.