There are several possible reasons:
1. While most DVDs these days are captioned, not all are. Be sure to check for the "CC" symbol on the box and/or the DVD itself. If you see the "CC" symbol and you know the DVD player displays closed captioning, then you may have a defective disk. Contact the store for a replacement.
2. Not all DVD players display captions. Make sure yours does by testing it with a DVD that you've proven on a different player to be captioned.
3. Some DVDs use subtitles instead of captions. The good ones actually have SDH (subtitles for the deaf and hard of hearing) which are actually captions in subtitle form. Others just have English subtitles, which leave out all the sound effects, speaker ID, etc. Even so, the producer and distributor think they've done their job. It is up to the consumer to tell them, no, they haven't. (How to turn on the subtitles depends on the DVD's setup. Either there will be an option on the DVD's main menu screen, or, in the event of SDH, it may require you to click a "subtitle" button on the DVD's remote control.)