Hi Bobby,
As you correctly deduced, when a 720x486 video file is compressed to MPEG-2 for DVD (720x480), the captions will not be preserved unless special steps are taken.
Fortunately, CPC software can extract the line 21 captions from a 720x486 movie file and then export a .SCC file for DVD. MacCaption even supports batch conversion and scripting for high volume workflows, so it is definitely possible for same day turnarounds as long as you have the software. (We can do it as a service as well but not same day.)
To answer your other question, most of the consumer DVD set-top recorders do in fact record closed captioning. They decode the line 21 and mux the caption data into the recorded stream. But in my experience, some of the more "professional" models do not (go figure).
Hope this helps,
Jason Livingston
CPC Closed Captioning