Have you played around with the digital closed captioning? A couple of people have had trouble with it but I think they might have accepted the default digital closed captions, which would be too small, rather than experimenting with user-controlled font styles and sizes and making the captions large sized. (Different font styles will differ in how large they make the captions.)
It would be great if you could take pictures of the default digital closed captions and then contrast that with large size captions (and the analog caption font provided by the box).
In other words, the box probably is designed to pass through the closed caption data (EIA-608) to the analog TV automatically. If you turn on the digital closed captions without changing other settings, you'll see the default for the digital captions issued by the broadcaster (which apparently is very small and poor quality---but I haven't seen any photos of them). What I haven't heard about is whether it's possible to get usable captions by choosing a better font style and large size.
I have a thread set up for evaluating the captioning provided by converter boxes at:
Evaluating Digital-to-Analog Converter Boxes for Users of Captioning