I had similar thing happen in Redbox, all I can do is call to request a refund or credit for not having captions/subtiles to work.
It's common for some collection DVD and some foreign movies are not subtitled. If I get those and doesn't work, all I can do is contact Amazon for a refund and they will send a e-mail to have a return label that you can print out and send back for a complete refund.
I know it is headache when the DVD is not showing caption/subtiles, hopefully in the near future all of them regardless will have those for the Deaf and HOH. 
