Hulu Support Advocate says:
July 31, 2012 at 11:50 am
Hi Mark and Todd,
Currently, closed captions are not yet available in the Hulu Plus application for Apple TV. We understand that this is a feature that many of our users would like to see,
so well be working hard to add it in a future release! In the meantime, you can visit
http://www.hulu.com/support/article/354280 to view a list of devices where our application supports captions.
Thanks,
Shirley
Hulu Support