Subtitles extraction works for streams that can be captured using the extraction engine (and then only for some sites), not for sites like netflix and HBOgo that can only be captured with the DVR capture feature.
Extraction engine subtitle settings are available via Settings > Internet Downloads > Advanced > Extractor Subtitles.
DVR settings are on the Settings > DVR tab.
I just updated my Jaksta player to the newest release but still can't get subtitles (CC) to show in Netflix. I also noticed someone else having the same problem with HBOGO. Does the closed captioning option actually work on Jaksta or is there a setting or trick somewhere that I missed? I have subtitles enabled in the Jaksta player and also on Netflix but they don't come through on the DVR recording.