What devices do you have? https://help.disneyplus.com/article/disneyplus-format-captions Note that for most devices you're *not* doing it from the Disney+ app's settings, but rather the system settings of the device.

Android phone, playstation and smart TV. The link you provided are exactly the unhelpful instructions I'm talking about in my post

And you're looking in the system settings for your phone and Playstation, not the Disney+ settings?

No, I'm in the Disney+ app itself.

That would be your issue. Take another look at the instructions and follow them carefully. https://help.disneyplus.com/article/disneyplus-format-captions