I’ve got all my movies in I:\Movies. I’ve got all my subtitles in I:\Movies\Subtitles. Plex doesn’t seem able to detect the subtitles in that sub-folder. If I bring them out of there and just dump them in with the movies, then it detects them just fine, but that’s messy. It seems a relatively simple thing for Plex to check any subfolders for subtitle files. VLC does this perfectly.
I agree that this should be pretty simple, but unfortunately I think for now the answer is no. From my experience trying the same thing, as well as referencing Plex’s subtitle support page, it looks like subtitles must either be embedded or in the same folder as the video file.