Hi Alex,
This is a bit late reply to your post but I thought I could help.
HD-SDI supports closed captions because it includes VANC (vertical ancillary) data support. It is the only HD interface which does.
DVI, HDMI, and DisplayPort do not support closed captions as they only carry the active picture area without VANC data. So you won’t find any monitors that can decode closed captions from these inputs.
The only way this could work is to go HD-SDI into a device with a closed captions decoder, and then take the open captioned (captions in the image) output of that device into a converter. (This is how HD set-top boxes work; they render the closed captions into the image and then send the image via HDMI or component.)
Best regards,
Jason Livingston
CPC Closed Captioning