Plex uses the default Android media player, which doesn’t support this feature. Unless Plex is willing to roll its own media player (something like a VLC wrapper) it’s up to android to support this.
But I feel you, subtitle support is great on all platforms and players, except for Plex, which can’t seem to offer decent subtitle support on ANY platform or player. Even in Plex for Kodi they managed to make the subtitles worse!