I have been plagued by a somewhat annoying issue for a while. For some reason, even though I turn off closed captioning in Settings>Display>Closed Captions, they automatically turn back on whenever I start the XBox Video app. I believe it is whenever the XBox is turned off an on. For instance, when I turn it on and go and re-turn off the captions, they will stay off until I reset the XBox. They don't appear for any other app other than XBox video.
When I change the CC option to "OFF" I do select "Save & Exit"
I couldnt find similar problems so I am guessing it is some wierd bug my XBox has.