Sorry for delay. I see you first posted about this 5/6 weeks ago, without getting a reply. I will repeat my answer, with less shorthand. If this doesn't work and you're still stuck I suggest e-mail swop.
I would try any of these:
1. When you are already watching a programme with subtitles on, try to live-record it and then see if it's okay on playback. Use the "direct tv rec" button with small red circle on handset, extreme right, 2nd-bottom row, (not the one on extreme left, same row, that one doesn't do subtitles).
2. Use the function menu, to the right of main central circle on handset; then press recording; then ok; and on next empty line available, key in advance programme long-hand, with subtitle option to ON.
3. Restart - use Function menu; then to "others"; then set up; then auto setup restart.
Good luck