Thanks for your time, tsantee. It wasn't either a bug nor a feature, it's already included.
When I made my compilation disc I used just the VIDEO_TS option in the Video section, which seems quite obvious to me. This time I selected VIDEO_TS Compilation, checked the settings for both movies and it indicated: subtitles. When I checked the finished image, both movies still had their subs. Thanks again. Next problem: this way there's no menu... (but that isn't the biggest problem when you don't understand japanese and really need the subtitles :-) )