I found this info from Bill Hunt at digitalbits.com -
'Unfortunately, the documentary featurettes on Discs Two and Three do NOT include English SDH subtitles. Fans who need them will surely find this disappointing.'
'Other than subtitles for the extras, about the only key thing that's not included on this Blu-ray (and that I wished was here) is a couple of really good audio commentary tracks with Cameron, producer Jon Landau and members of the creative team.'
'Perhaps a live commentary event, SDH subtitles for the featurettes and other marketing materials can be added in the future via BD-Live? In any case, given the many hours of content that IS included on this set, (and with the exception of the SDH) these are minor omissions.'