Normally if you want them to be automatically selected you have to have a language code so Plex knows what language they are.
ie:
Frozen (2014).mp4
Frozen (2014.eng.srt
Otherwise they show up as an unknown language and won't be automatically selected. I haven't tried on my 360 as I unplugged it awhile back, but that is what I have done for the other apps for subtitle selection.