I share your pain. The short answer is NO there is no real shortcut. However, if you have a sophisticated universal remote, you can program the steps as a Macro to turn on and off the CC by pressing one button on the universal remote.
The TV will not handle CC via HDMI from any box (the new standard); it is a task for all boxes, not the TV, via digital. The TV will handle CC via analog connections and direct OTA to TV. But, HDMI is really preferred and makes more sense in most set-ups.
Dish should really come up with a short-cut or at least assign one of the color keys on the "K" remotes as a start. Somehow it just doesn't seem right that CC on/off is so cumbersome. I, for one, do have to set it on and off for various reasons. It really is the only "major" peeve I have with the Dish DVR's. TiVo's solution isn't a one-button solution, but it is extremely easy to access the CC control very quickly and intuitively, so turning off/on CC with TiVo is quite easy and quick.