I partly have the same problem even though my English is very good. I can understand most of the dialogue in films, but I can rarely hear everything that is said. I also watch films with English subtitles whenever I can get them. It partly has something to do with the loud sound effects and music in films. It can be pretty difficult to hear what people are saying unless you want to turn up the volume so loud that your neighbours will complain. Also, in films actors often mumble. And it can be more difficult to guess what people might be saying - because it’s fiction people sometimes say unexpected things.

just listen more and more, i felt the same at the beginning but after that i feel now it's easier and easier, of course American movies are different from courses or other activities and harder but it's very helpful too. and try to know all the language acronyms and phrasal verbs i think it will help you because it's very common in Movies :)

do native english people use subtitle when watching english movies ? I really want to know

I have same problem too. I think it is because in programs like interviews and news they are more focused on pronouncing and there is less background noises than in movies.