Yeah, the lack of burned-in subtitles is something that has pissed me off to no end, especially the tendency for the subtitle track subtitles to not even exist inside the frame but instead placed in the matte! Of all the stupid decisions Lucasfilm has made... this is one of them.

I can't speak for Sith, as I haven't seen it in a while, but the reason you can't find any in Empire is because... there aren't any! There isn't a single alien subtitle in that movie, so stop your search, or you'll just drive yourself crazy. =P