It's a glitch on the disc that can be easily corrected in about 5 seconds. Go to the subtitle menu either on the main menu or while an episode is playing and turn the subtitles on, then off. Subtitles should now work for the Spanish language scenes.
Here is another way that worked for me. Load disc, then in bluray player playback menu, leave subtitle off and set subtitle language to "2 Eng" before watching. This resets to "1 Eng" so need to set this each time a disc is loaded.
I had the same problem but I purchased the dvd version - not the blue ray. Mine have no CC at all and there is no english subtitle option available. Being hard of hearing I always use CC when subtitles are not available. So for season 4 I was doubly stung in that no CC at all and during spanish parts, no translations.
Blame Sony! It's been three months since these defective discs were released; I talked to a customer service rep today, who said they have 'a long list' of people requesting replacements because of this issue, but no info from Sony. Their web site has a specific FAQ question on season two disc problems, but nothing on season 4.
BTW, I tried BOTH the above solutions on my Oppo blu player; neither worked. Sony needs to take some responsibility for the defective discs, and make replacements available.
Update on 9/5 - I received a written reply from Sony this morning indicating that they were 'aware of the issue' but had no plans to replace the defective discs. They offered two unacceptable options: replace my BRDs with regular DVDs (without reimbursing me for the difference in price), or replace the entire set with a sealed copy of the defective discs so they could be returned (if they were even accepted for return two months after they were purchased).
Write Sony and complain. I'm also going to try to get AMC involved to see if they can't 'persuade' Sony to stop treating paying customers in such a cavalier manner.