The subtitles where not showing when the mkv and set file where named as follows:
Not showing as in not selectable in the sub menu or once selected not showing during playback of the video?
Are you sure this is a PlexConnect problem and not a PMS one?
PlexConnect doesn't know or care what your files are called, once a file is added to your PMS library PlexConnect accesses it using a numerical value called the ratingKey. Infact PlexConnect doesn't even have access to the subtitle file, the transcoder handles all of that. Rename the files back to the naming that's causing problems and try playing it using a different client and see if the same problem occurs.
As a related note on subtitles issues in PlexConnect (and multiple audio streams too), make sure you are running the latest version of Plex Media Server and that you've forced an updated media analyze
There was a bug in previous versions which stopped PlexConnect correctly showing subtitles and it also didn't play any audio track other than first.
I'm now running PMS 0.9.8.4.125-ffe2a5d and have done a media analyze (it's found under the more button when viewing a media library section). This resolved all issues I was experiencing under 0.9.8.0.x
If this doesn't resolve any issues, try a rescan/rebuild/deep scan and try again. Finally remove and re-create a library section.