ADA compliance is the standard in areas where the government mandates it. For television broadcast streams the FCC has made close captioning a standard. For Internet streams, the FCC has no control. Instead, it seems we are still feeling the side-effect results of "Access Now, Inc. vs. Southwest Airlines" which states that the ADA does not apply to the Internet.
In this specific case, beating up on Roku or Netflix is not the answer. You need to go up the food chain to Microsoft on this one. I will try to explain the reason for this as best I can.
To side-track for a moment, I would like to discuss how over the air broadcasts in the US do close captions. Until Feb '09, the US still has NTSC which has at the bottom of each picture frame a 21 line bar. This bar is never displayed on the TV but the 21st line of the bar contains close caption data. For digital broadcasts the US uses ATSC which uses MPEG-2 for video and also inserts EIA-708 packets into the stream to provide close captioning. The EIA-708 captions takes up 10kbps of bandwidth. Low quality Netflex playback takes up around 500kbps so EIA-708 would add about 2% more overhead if adding it was technically possible.
DVD players have three methods of providing text during playback of a movie. One is close captioning sent via line 21 where displaying the text is turned on or off by the TV. However, the line 21 method only works at 480i, for DVD players that upscale the image to 720p or 1080i using HDMI will not be able to pass the close caption via line 21. The next method is via sub-title overlays where the text is produced by the DVD and turned on or off with the DVD remote. The last method is where the text is burned-in as part of the video and can't be turned off.
As a side note, Roku Netflix Player also would not be able to pass line 21 close caption data when operating at 720p or 1080i over HDMI. This isn't a problem with Roku but rather a problem with HDMI.
Now, back to Netflix. Keep in mind that Netflix leverages Microsoft's DRM for WMV to convince studios that it is safe to release their copyrighted content for Internet streaming. The Netflix video is just the displayed area of the images and can no longer contain line 21 close caption data. Also, the current versions of WMV has no concept similar to EIA-708. While it should be technically possible to put EIA-708 frames between VC-1 frames just as it done with MPEG-2 for ATSC, no WMV authoring software supports doing it. Instead, Microsoft added close caption support to Windows Media Player as a kind of an after-thought using a completely separate file called a Synchronized Accessible Media Interchange (SAMI) file which usually use a .smi extention. This file does not fall under Microsoft's DRM "protection" that WMV material does.
So, under the environment Microsoft has provided under any framework leveraging current WMV methods, Netflix has the following options to provide close captioning to their "Watch Now" customers:
1) Provide "burned-in" close caption streams which would probably mean having to store two versions of each film such that one is encoded without the captions and the other encoded with the captions added to the video stream.
2) Add SAMI files which might require additional licensing terms to be worked out with the movie studios since those files aren't under the protection of the WMV DRM.
3) Wait for Microsoft to provide a better way of supporting close captioning.
Another problem with the SAMI file route is that the Roku does not have much memory to store the file. What you really want is a way to be able to stream the captions along with the video/audio. But adding support for doing so still sits with Microsoft. To make things worse, Adobe also has gotten this wrong. With Flash CS3 they added caption support but they also decided to keep it as a file that is external to their FLV format. If you do choose to contact Microsoft about this issue then I recommend bugging Adobe to resolve the issue on their end as well.