Inception or openmode shouldn't be needed. I have neither installed. Dependencies you mention are from offical nokia repositories so that would be odd. IIRC Aegis throws some warnings when installing one of python packages, but those can be ignored. I last tried install on clean system on pr1.2 so maybe something has changed after that? Can others confirm? You should be able to install yle-dl by simply tapping the links to rtmpdump and yle-dl packages in web browser (worked in fennec atleast) or downloading them and tapping in filemanager (for example filebox).

You are right that --vfat flag is necessary when downloading into ~/MyDocs which resides in FAT partition. Other flags are optional and subs get downloaded by default. For mplayer to display subtitles with correct encoding you need to use -utf8 flag. I guess it should also work in kmplayer if you add corresponding line (utf8=true) to ~/.mplayer/config and set kmplayer to use mplayer as backend.

You can watch live broadcasts too (with mplayer). Just start to play the file while it's downloading. I watched football European Championships live on the phone.