"Remux into file" incorporates the subtitle right into the .mp4 or .mkv file. Or it should based on my understanding. I don't do subtitles. Anyway, look at your .mp4 or .mkv using MediaInfo (text mode is best, in my opinion). Here's an example of a .mkv file that I found in my library ---
Cats4U
Good to know! I usually just open the file with VLC media player, go to Tools and click on codec information - if there's a subtitle stream track there, it'll be listed. As you can see, there's a whole lot of empty going on here. "Remux into file" embeds the subtitles in the file - if I DL using the competition, they're there. (And because they have a disdain for capturing thumbnails, that means that every damn episode in a series will look alike, which is why I much prefer SF and wish they'd fix this issue!)
