There's no need for anything untranslated to be in subs.
... ?
I don't speak Japanese well enough.
Your poor comprehension of the spoken language is an obstacle in reading fully translated subs?
I reckon he means that he doesn't comprehend it well enough to pick out the phrases he in principle does know (in this case onee-sama) without it written in the sub. Which actually seems like a legitimate argument, although it in turn begs the question of how many people are in that relatively small window of language comprehension where they know a term in romaji but miss it (consistently, in the case of something that would be frequently repeated like onee-sama) in speech. I still think that's a small enough portion of the audience, given how intelligible TV-accent Japanese is (I could potentially lean the other direction on, say, Danish) but it's a reasonable position.
Either that or he forgot the context somewhere along the way in that exchange, or we were somehow not on the same page to begin with. So in that case:
What does that have to do with being able to hear? Now i’m even more confused
If you can hear the original (not dubbed) audio, then you can hear the dialog in its untranslated form. This makes the untranslated text in subs redundant, and therefore, for many/most viewers, pointless. Il Palazzo is requesting clarification (possibly sarcastically, it's not always easy to tell in text) about how [lack of] ability to comprehend spoken dialog in the original language relates to your ability to enjoy a sub that does not include romaji transliteration of the dialog. More broadly, it can be interpreted as questioning what this has to do with the topic at hand in general (that is, allowing you to clarify that in fact your statement pertained to something else that had been said, or to characterize the point to which you were responding differently), which is implicit in the fact that he restated the point he perceived you to be responding to.
As a side note, that kind of deep analysis of a few lines of text is something that all neurotypical people do subconsciously in order to nuance, while a need to analyze it consciously is considered characteristic of autism. The ability to spell it out explicitly like this is therefore a rare ability among the neurotypical. I apologize to anyone who finds it overly detailed to the point of being exhausting, but do be aware that to some people, every conversation is like this.