A few DVD recorders do capture closed captioning for display, but most do not. Test before you buy!
Here's the technical information if you're so inclined: DVDs use mpeg2 video. As you probably know, line 21 (where captioning is displayed on a broadcast) doesn't exist in mpeg2. It has to be stored as a data file on the DVD, then the dvd player must recreate line 21 from that data. Some DVD recorders can retain line 21 when creating mpeg2; some cannot. The issue exists for both professional-quality recorders as well as those made for consumers.