Unless you specifically select IFO output, you won't see it. And if you do, you won't see .VOB, idx , or any substreams, just the IFO file.
I don't know if your device supports .vob files, but to get subtitles, the substream (which should be just the subtitles) needs to be re-multiplexed with the other files in the .VOB file.
There may be an easy way to handle this... I just don't know what it is... I D/L a .AVI movie recently, with subtitles already installed. When I converted, the subtitles were gone (I went to mpeg-2), and luckily, the same site had a subtitle file for that film avail. for download, so I got it, and had to use an authoring program to put it all back together (recreating .VOB files).
I'm pretty sure there is a program that will do that for .AVI files, but I don't know which one, as I always go the other way.