It does on mine. If you don't have CC either the program your watching is not captioned or you don't have something set up properly. On the RF output I think the
CC has to be turned on with the TV itself.
Did you try a reboot? I lost the captioning this morning on my 622.
A reboot brought it back.
I'm using HDMI, but I wouldn't think what output you're using would matter other than like I said the captioning on the coax output has to be provided by the TV.