Plex is extremely picky when it comes to TV shows. You must explicitly follow Plex’s naming and organizing guidelines.
See TV Show Files (Naming and Organizing)
Specifically, Naming and Organizing Your TV Show Files and Local Media Assets – TV Shows.
You will end up with something similar to this:
/TV Shows
/The Terror
/Season 01
/The Terror - s01e01 - Go For Broke.mp4
/The Terror - s01e01 - Go For Broke.eng.srt
/The Terror - s01e02.mp4
/The Terror - s01e02.eng.srt
After naming and organizing is corrected, Plex Dance the entire show (not just a season or episode) as mentioned by @nibbles
Plex supports searching for subtitle files, known as On-Demand Subtitle Search. As mentioned in the support article, this feature requires a Plex Pass. As you do not have a Plex Pass (not currently shown beside your name), you cannot use this capability.
Plex also supports downloading subtitles from OpenSubtitles.org. This is configurable in Settings → Agents → Shows → TheTVDB. This requires a free opensubtitles.org account. To enable, select the checkbox next to the opensubtitles.org line, then click the gear to the right and enter you opensubtitles username and password. You will then need to refresh the metadata for the desired TV show(s). Subtitles should download within a few minutes.
