The Plex platform has always been spotty concerning subtitles.
I have MKV files that display subs in VLC just fine. They display fine on Plex Web. But the Plex app for Roku often fails to render them at all.
As a workaround, I can override the default “Automatic” option, changing that to “Always” burn in subtitles. But this is a per-stream setting, which is onerous to do for an entire TV series.
Basically, the automatic option is the one that’s broken. The Roku app is silently failing to render subtitles out of the box. Even when they are configured with the relevant MKV metadata bits turned on.
This issue has existed for many years. I hope that the Plex platform can finally improve the default subtitle behavior on embedded devices.