By accident I found out how to solve my problem.
At ‘Newsletter > Subscription Steps > Subscription’ I just saw the “Forced Preferences” option. I checked the preferences boxed I’ve created and now they’re coming checked in new subscriptions profiles.
I believe I got this doubt because the options are in different places and I’m a beggining user. Maybe an observation at ‘Newsletter > Subscription Form > Preferences’ page with the additional steps we should do in ‘Newsletter > Subscription Steps > Subscription’ prevents more users for having the same problem.