Whenever VRDPro starts up, view closed captioning is on. When I turn it off, it is only off for the session. The next time I restart VRDPro, it is back on. I could find nothing in the settings to turn off this behavior.
Go to Tools>Options>VRD Pro and set the SD and HD caption options to "none". If you leave it at last viewed it will default, on each file open, to the last displayed caption even if you turned it off the previous file.