If subtitles are correctly loaded (either automatically or manually) most skins (control panel) will show the name of the subtitle-file.
E.g. with base-skin it should be shown just above "Movie size:".
(Edit: please note that the above info is no longer valid for version 2 base-skin)
If filename is shown there, BSPlayer has recognized it (and able to play).
Further: what is setting under
(rightclick >) Options > Preferences > Video > [Video rendering]
Try a different mode; e.g. no overlay or "Use overlay Mode 1".
Any difference?
Maybe you could check (with movie loaded) under
(rightclick >) Options > Filters > Advanced
what codec/filter is actually used to show your movie.
Is that different for the movies that do show subtitles compared to those that don't?