Your Zenith STB can only decode the latest digital closed captions. At the time of this post, only WGBH in Boston has the equipment to use that system. As stations get new equipment, you will be able to get captions in HD. Right now, station are using the old 608 standard of analog CCs and your set only decodes the 708 standard of digital CCs.
Once the stations catch up and put 708 standard encoders in, you not only will have CC in HD, but also have control of fonts, colors, and placement of digital captions. It's new technology and stations as well as encoder manufacturers are running behind. Digital CC is like HD itself. It is better technology but is taking a while to implement.
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