I think, that it's easier to understand if you change the "in denen" with "in which".
For example:
"There are just a few films in which (or where) the main character dies."
"Es gibt nur sehr wenige Filme, in denen der Hauptcharakter stirbt."
The "that" you are thinking of would be "die" in this case, because you are describing an object.
"I loved the person that is dead now."
"Ich liebte die Person, die nun tot ist."
The "dass" is used to express an intention, a consequence or a reaction.
For example:
"It was so sad that I had to cry."
"Es war so traurig, dass ich heulen musste."
The "in" just describes, where the subtitles are "in the films" -> "in den Filmen". It must be used in this sentence.
Like I said above, it would be "In which the subtitles ..." or "Where the subtitles ..."
"Dem" refers to "was die Personen sagen".
("That" refers to "what the persons are saying".)
That's one of the wonderful examples of the problems German causes can create for non native speakers.
I hope that the examples help. (little test: How would you translate this sentence?)
Woah, that's hard to explain. I don't want to be a teacher