Subtitles, even though they may not be closed captioning per-say, are on the disc its self and nothing really needs to be decoded like with closed captioning that's comes in through an over the air signal or whatever else. I suspect that's why most dvd players do not have decoders built in.
I actually prefer the subtitles myself. Subtitles tend to be more accurate then closed captioning. They are direct translations of what is being said. I think they just look much nicer too as they are over-layed onto the picture and not decoded in a black box or whatever.
I have discovered too that on a lot of dvds the closed captioning is actually subtitles. They just put in a menu that says closed captioning but you are actually getting subtitles.
Here is an interesting site I found on subtitles and closed-captioning with dvds.
What's the difference between Closed Captions and subtitles? - DVD FAQs, DVD Glossary