Triple clicking the Menu button does display closed captions

My question is regarding Apple TV 4, tvOS 9.2. In the Settings app I have set an option called "Accessibility Shortcut" to show closed captions by triple clicking the Menu button on the remote. However, it doesn't show the closed captions when I click the Menu button three times. I've checked to see that the movie(s) supports closed captions.

I realize I can turn on closed captions other ways, viz., pulling down a menu from the top of the touchpad on the remote and selecting "Subtitles" and then "English SDH", or I can switch to the Settings app, then Accessibility and select "Closed Captions and SDH". However, these methods are cumbersome and not quick enough for me, especially when I want to turn off closed captions shortly after turning them on. Any ideas how to make the triple click menu button work for me to show closed captions?