New to Plex - need help with subtitles

That would mean it is the ‘Plex Media Player’ (PMP).

The main trick is that most subtitle-related settings of PMP are only accessible in its ‘full screen mode’.

pmp_fullscreen

Once it is switched, click on your user name, then on
Settings - Subtitles
Most of the options are available there.

After you have changed the settings, you can switch PMP back into its ‘windowed mode’.

There are also some further ‘tweaks’ available for subtitles, but these require editing a configuration file: