I like to play with Russian voices on (for atmospheric reasons), but it seems that subtitles are only displayed when someone is directly speaking with you. This is something that I noticed in 2033. Haven't tried Last Light yet.

Unfortunately, that's the way the games works. I highly doubt there will be any update that will add subtitles for what's going on around you.

The thing is, i find it very good & immersive to play it in russian even though i can't understand half of what's spoken inside the game but keep in mind that i have already played it in english language before. So, i guess you can do the same; first time in english, then in russian.

Hmm, does it have to be an "official update" though? I gave up on the developers implementing more subtitles when I asked in the Steam forums when it was up for preorder.

No it doesn't but as far as I know, there aren't any unofficial subtitle mods so far. As for the development team, they better work in their next (Metro?) game, than update the (great) current ones! ;)