I have been having a slightly different problem with CNN - the SD version comes in just fine, but occasionally, when I try to tune to the HD channel, I get a message saying that the channel is unavailable, and I am sent back to the channel I was previously watching. It tends to last a day or so, and I have had times when CNN HD came in on one of my boxes but not another, so it may not be with the channel itself.
This may be a tuning issue. If the box can't tune to a channel, it will either try to tune to an equivalent (sd or hd) version, or whatever the last channel you were watching was.
You will want to check all the wiring/cables to make sure they are secure and undamaged and try replacing the coax. If you are only seeing this issue one TV then my guess would be that the coax on that TV may just need to be replaced. Give it a try and let us know if that did the trick or if you are still having troubles. I look forward to your update!
ThatDonGuy, as I have not heard back from you in some time, I have closed this thread to further comments. I hope you were able to figure out this issue with CNN, but if you still need assistance, please feel free to start a new thread.