I notice that I can't get the closed caption to work on my TV if I use the component connections. This is OK most of the time since most movies have english subtitles however a few don't. For example the current movie "Monster" doesn't have english subtitles. It is very difficult to understand what is being said in many of the scenes of this movie.

Is there a way to get the closed caption to work without having to resort to a s-video cable ?

I think Sony Support solved this one for me. Apparently you can't use Progressive Scan output if you want the closed caption to work.

I will have to try this tonight and see if it solves the issue.
============================================
SOLUTION:
To view Closed Captioning (CC) information from a DVD using the CC function of the television, turn off the Progressive Scan function of the DVD player. The Closed Caption information from a DVD cannot be viewed using the CC function of a television when the DVD player outputs a progressive signal.

True, as I found out during my preamp upgrade shopping none of the preamps or receivers will pass any OSD including closed caption if you are feeding a pogressive scan or high def signal through the component inputs.They are trying to keep the signal as pure as possible without introducing any extra form of signal.