Try select it with Track. May be, there is bad string for Danish subs ?
When are subs selected with Track or Language, in menu will be only audio item.
I tried it now:
Transcode MPEG/DVD Video: Yes
Subtitle overlay: Yes
Enter subtitles as Track or Language: languages
and it works well for me.
All 4 .py files are in VLC player plugin placed (restart GUI)