I finally bought the 2-DVD version and played parts of it last night. For Disc 1 . . . . the concert . . . . . in the Set-Up Menu, I selected English Subtitles. My expectation was that subtitles would appear when Bono talked (rather than sang) . . . . . whether Bono talked during a song or in between songs. No subtitles appeared at any point.
If Subtitles don't work, what's the purpose of Disc 1 having a Set-Up Menu with several languages of Subtitles? I also tried the other languages for the Subtitles (French, German, etc).
On a side note, I also tried the Closed Captioning button on my SONY television remote control, but no subtitles appeared on my SONY television screen either.