It was cool that we used to be able to shake our remote (for mute + CC) but the new remote doesn't have an accelerometer (and that option drained battery life pretty quickly, we were warned.)
Under Settings > Accessibility > General > Accessibility Shortcut, I have it set to Closed Captions. The description above says "Triple-Click Menu For."
Of course the Menu button has been renamed Back (<) button in the latest model Siri Remote, but triple-clicking that menu button does work in Apple's TV app, to toggle closed captions on and off.
This accessibility shortcut however doesn't seem to work in Channels? At least, I couldn't get it to recognize the triple-click. Is that something Channels with its custom player is allowed to do? This feature is very handy for those of us who need it.