"Any other ideas?"
Yes, contact Apple. According to their own website...
http://www.apple.com/accessibility/itunes/hearing.html
"Captioned Movies on iPod
iPod models that support video — including iPod classic, iPod nano (3rd, 4th, 5th, and 6th generation), and iPod touch — can also display captions when present in the content. Captions display in a high-contrast white-on-black font that’s easy to read."
The 6th generation Nano plays video. Plus the fact that the email their accessibility team has sent in response to my question...
"On your hearing page, closed captioning for videos refers to the newest nano, is this correct?" seems to confirm very clearly...
"Hi,
Thank you for the email. That information is correct, if the video content you have synced from iTunes contains closed caption information you can enable closed captioning. One thing to note, the new iPod Nano (6th Generation) will only sync music video content only.
Apple Accessibility"
Perhaps there is some special format to Apple Music videos that I am not aware of, but it seems as though changing the tag should allow it to sync. Perhaps it's an update away?