It looks like Gog version doesn't contain english subtitles.
As far as I know german version had english subtitles, so perhaps Gog version also got them but they aren't activated in scummvm. So, is there anyway to get english subtitles working on gog version?
Edit: Hmm it seems like I found a way to show subtitles, I don't know if it will crash the game but people who got the same need for subtitles can benefit from this way;
open feeble.ini in The Feeble Files root file and change subtitles=false into subtitles=true

Subtitles were not available in the original version of The Feeble Files, and never meant to be displayed.
If you enable subtitles via config file in ScummVM, you will notice the subtitles are often only shown, for the first segment of speech.

I eneable subtitles just by pressing T (the standart key for subtitles in many games). It doesn't work for all dialogues, sometimes you only have the fist part as Kirben said, but it make life easier if you're not confortable enough with English. And no need to mess with the ini files.