After starting a game with Native Mode Off cutscenes after the first level are still foreign. Maybe I misunderstood the description and want it on. I don't see a way to change it after the one time it's presented.

Uninstalled and re-installed the game so I can start with Native Mode On. Now the first level cutscenes are foreign too. I guess Native Mode just isn't getting turned off for all scenes.

You can turn it off in the options. Here is a picture, where you can see the option called Spoken language. That is the one where you are searching for.