You can never know which locale your Plex server device is using - particularly when the Plex server is some NAS, based on Linux. Or when it runs on a VPS, somewhere in a different country.
Sometimes the server has to convert the subtitles - either from SRT to ASS or it has to burn them into the picture. And then it doesn’t matter which locale the plex client has set.
And you can also never know which locale settings your (or your friend’s) various client devices will use.
Therefore: use a fileformat which is codepage-agnostic.
Ah, I guess that’s why the subs display correctly in VLC. Boy… Much to learn. Seems like we only scratch the surface, lol. Thank you. No more questions, I promise. I actually find this very fascinating. I might end up loading some VMs and playing with this some more. Thanks for the schooling 101.