You experience sounds a little like mine. This is a problem that TiVo does know about (confirmed by a TiVo rep, via PMs here on TCF), but so far they have provided no indication that they plan to do anything to remedy it.
It only affects SD channels where the cable company inserts commercials (so generally broadcast channels are NOT affected). Whenever the program returns from a cable company inserted commercial break, the Closed Captions are gone. This is very consistent. However, since so few people complain about it, apparently TiVo doesn't have much rationale for researching and addressing the problem.
If you're experiencing this, keep very close tabs on it and make a log for a few weeks, noting each instance, what channel, and how long into the program the Closed Captions vanished. Then submit the complaint through various channels. If enough people express disappointment, TiVo may take action.
See update on this, below (#14).