Being part of the stream, I would imagine that closed captions are recorded automatically regardless of how the recording is initiated. I have never checked, however.
That's what I thought as well but I tried it on a recording that usually has CC and it wasn't available. Maybe I made an error, I couldn't actually tell as I have nothing to compare. I will try it again.
Closed Captioning can be enabled or disabled on while watching a live channel displaying Closed Captioning.
If Closed Captioning is enabled before initiating playback of a DVR recording, CC will be displayed. Closed Captioning cannot be enabled after file playback is started.