After lunching a movie there is no way to change the audio language/subtitle during the movie (swipe down menu). Workaround is to exit the movie and choose Settings in the movie and change the language settings and resume the move.
It is not a bug per say, but how plex works right now on apple tv.
If the video needs transcoding, the audio/subtitles must be set before starting playback. If the video is direct-play compatible, you can select audio/subtitles during playback.
Try with a video file that has the following characteristics:
You will now see that you can change audio or subtitles and also have seek thumbnails and chapter screenshots.
If you want I can write you the ffmpeg command to convert a mkv file to mp4 file direct-play compatible without re-encoding video, only audio & subtitles.