I have the same problem first day when I bought it. I have My Book 250GB, wanted to watch some other movie.
When I wanted to check "options" and check for subtitles (on/off), there were NO SUBTITLES. Alright then, I connected My Book back to PC, and found NO SUBTITLES in that directory anymore. So where is the trick? I don't know. I made another copy of that srt subtitle to that directory, connect my book back to WD HD TV and ......... NO SUBTITLE. Again! what? there were exactly in the same directory on PC just minute ago.
I disconnected my book from HD TV and connected it back to PC. Yeah, subtitles weren't there anymore.
So I don't know why are you saying that HD TV doesn't have option to delete files, if it can clearly writes up? (.hd.tv directory)
I'm confused too with this thing, but will probably order some HDMI notebook.
HD TV got way too many bugs, if you just touch the hdmi or power cable it can go out pretty fast.
Next day I reformatted my book, and problem didn't persist anymore.