When in Rome

(Grammar Questions I Couldn't Answer)

Since I've started having my students analyze the grammar of English proverbs, I've occasionally found myself creating grammar questions that I couldn't quite answer myself.

One example is:
When in Rome, do as the Romans do --  Slideshow (slides, pub), Worksheet (docs, pub),

I told my students that the full version of this sentence would be "When you are in Rome, you should do as the Romans do".  But that it was acceptable to leave some of the words out.

Unlike other languages, English is usually very strict about requiring every sentence to have a subject.  (Even when there is no subject, a dummy subject has to be created, such as "it" in "it is raining").
The exception to this is imperatives, so "do as the Romans do" is easy enough to explain.

But then, why is the subject missing in the "When in Rome" clause?