Comment #16 on issue 2571 by asmeu...@gmail.com: Regression in Integral.subs http://code.google.com/p/sympy/issues/detail?id=2571
That is to say, even for definite integrals it should work. I found myself wanting to do this quite a bit a while ago when working with solving PDEs with integral transforms. To do that, you need to substitute the transformed variable inside the (definite) integral with it's definition (another integral in a new variable). (To be sure, even if this worked, it's usefulness in SymPy would have been limited because you then have to change the order of integration, which isn't easily doable, see issue 2292.)
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