As a learner of languages and a native speaker of English, I've always preferred to have the subtitles in English until I'm at a fairly advanced level.
There's no point watching a film if you're not going to enjoy it, and if you're not going to understand it, you're not going to enjoy it.
Unfortunately, you do miss a lot of the spoken language from concentrating on the subtitles, but I did learn the Hindi for "I see" and "I understand" while watching with subtitles.
The problem with films and subtitles is that the subtitles never match the spoken dialogue, even when the two are in the same language.
What I really get from films is a feel for the rhythm of a language and how emotion changes that, not a great vocabulary.