The last update for Roku broke the caption, it only works if you have more than one caption . it assume the first one always means disabled having a message "caption (1 of X) disabled."
The problem still persists with latest Plex Pass release 5.1.6, not sure this is related to Embedded subtitles only or any first subtitle on the list.
Have not had any issues with my subs on my tcl.
this is could be related to a specific Roku device/firmware only. I have Roku 2 with firmware 8.0.0, what Roku fimrware version you are at now?
Further testing, the problem only occur when there are more than one embedded Subtitles e.g. English and English SDH.