I've also seen problems where selecting all subtitles doesn't work.
These "captions" are also called "forced subtitles". The forced subtitle is on by default - when no other subtitles are selected instead.
I've seen cases (Dances with Wolves) where selecting ALL subtitles does not preserve the "forced" attribute on the (previously) forced subtitle. In some cases, like Die Another Day, I've had luck selecting the English ones one at a time until I found the necessary subtitle. This didn't work with Dances with Wolves and I ended up doing a whole disk copy.
All in all, I've found subtitles to be a royal pain. Search for other threads containing "forced subtitles"
Preserving the forced attribute seems to be a bug in D2O which manifests in some disks. Also D2O needs to have a method for identifying the forced subtitle (possibly by selecting it by default).