Hi brko
Bit of a longish reply but it confirms what you have found.
I have just switched into version 3.12 to try the subtitle option...
Loaded a short MPEG4 clip waited for it to appear in the media list. Dragged and dropped in on the sequence line
Selected it and clicked the Subtitles Tab.
Typed in a short text
Waited for the thumbnails to render in the window
Dragged the IN/OUT markers to display from START to FINISH of the clip and waited for the thumbnails to render in the window
The subtitle text appeared on the thumbnails between the markers. i.e. All looked OK.
Although not necessary I then clicked the Green + to add another subtitle, didn't add another and then closed the subtitle window.
On the main screen I played the clip...
THE SUBTITLE DID NOT APPEAR IN THE PREVIEW
Clicked the return to start button < and again played the preview..NO SUBTITLE APPEARED UNTIL I STOPPED THE PREVIEW PLAYING THEN IT DID APPEAR!
To check , I Clicked the return to start button < and again played the preview..NO SUBTITLE APPEARED UNTIL I STOPPED THE PREVIEW THEN IT DID APPEAR!
My first observation is that ...You can't see where your subtitle actually is on the screen. Playing the sequence doesn't show it until you stop the preview when it then appears....not much use!
After clicking the return to start < button I exported the video to my PC as an avi.
THE SUBTITLES DID NOT PLAY IN THIS 
Returned to VP and played the preview for a short distance and then stopped the preview when the text then appeared again as noted above. Exported again.......again NO SUBTITLES!
Thinking it might be the Show Subtitles tab (which showed grey) I clicked this turning it the same coulour as the other tabs and the text disappeared in the thumbnails. Exported video was still without text.
There is a bug here and NCH should have a look at it.
Nat