Only those that have the tiny "cc" logo on them have closed captioning. And I'm pretty sure that's on a few select movies and no TV shows. The best thing you can do is fill out Apple's iTunes feedback form and hope they implement it in the future.
Unfortunately iTunes is way way behind in implementing captions. When you buy a new DVD, virtually every DVD has captions. in iTunes, captions are few and far between. Look for the cc logo. I've given up trying to find cc stuff on iTunes; I just buy DVDs and rip them
It took me a little while to find a movie that actually had the "cc" logo on its page. The third Pirates of the Caribbean movie has it. National Treasure 2 also has it. But it seems pretty hit and miss. Neither of the other Pirates movies have closed captioning.
Not to mention that the logo itself is tiny. (Follow the arrow in the attached screenshot.) I'd definitely shoot Apple some feedback about it but a quick Google search finds people have been complaining about this since the inception of movies/TV shows in the iTunes store. It looks like your best bet is still with physical DVD media.