It's been a long time, so I hope the OP found the answer eventually. But since I bought and installed the game yesterday, I'd share my ideas.
Did you use the Spanish installer, or selected Spanish as language from the English/default "multilingual" installer? There are two different instances where you can choose language. When you first launch the game, there is a menu asking which language do you want to use (Spanish is one of them). If that didn't work, or as it seems from the original post, didn't change the subtitles in the classic mode, you can try to download the Spanish installer from your library (note you can select LANG: ESPAÑOL in a dropdown menu) before you start the download.
I actually wanted the game in English so I can't assure this will work... But I hope at least one of these does the trick.