The yellow video connection (composite cable) from the player (or any other signal source) provides the CC signal, which the TVGuardian uses to detect profanity.
For some Sony Blu-ray models, under Video Settings or Screen Settings in the set-up menu, you have to select "Component Video" to allow output on HDMI and Video at the same time.
Also, you may need to change the “Output Video Format” to 1080i instead of 1080p. If that resolution doesn't work, try a lower resolution ending with i.