Video content on both Video CDs and Super Video CDs have a DAT extension, however the actual content in the DAT files is MPEG audio & video. For a Video CD, it is MPEG 1 Video at 352 x 288 @ 25FPS (PAL) or 352 x 240 @ 30FPS (NTSC). For Super Video CD, it is MPEG 2 Video at 480 x 576 @ 25FPS (PAL) or 480 x 480 (NTSC). In fact, if you were to copy one of the DAT files onto the hard drive and rename the extension to .MPG, it will play just like any other MPEG file.
In Europe, we don't have closed captions. Instead we have subtitles, which as you mention are sent along with Teletext on terrestrial TV. Most DVD players paint the subtitles directly on screen when turned on, rather than send them over Teletext.
I do know that my 5045 does not support taking subtitles from Teletext, so chances are the same for the 5005. Closed captioning uses scan line 21 to transmit the text, which is a line in the Vertical Blanking Interval (VBI) or a scan line not shown on the TV itself. It is interesting to see that this line is captured on DVD with the US 5005, yet not played in the same recorder.
As VCD and SVCD both heavily compress the picture as well as down-convert the resolution, this means that if scan line 21 is captured (which contains the closed captioning), chances are that the information stored on this line goes corrupt. The same issue is likely to occur with the DVD 'Long Play' modes in which the recorded horizontal resolution is cut in half.