Direct Play meens that it is allowed to play the file without transcoding
Direct Stream allows PMS to change the file container (eg. mp4, mkv and so)
Subs… That I dont know
Burning subtitles actually converts the text and makes it part of the video image that appears on the screen, rather than displaying the text over the top. This will force a transcode to happen when subtitles are used, where one may not normally occur.
I don’t use subtitles that often, and I’m sure there are some advantages to this. I just don’t know what they are. For me, in network I normally try to avoid transcoding whenever possible.