Roku and Subtitles
Sadly, Roku does not DVD (VOB) and blu-ray (PGS) subtitle formats. The only subtitle format supported by Roku is the SRT subtitle format with UTF-8 character encoding. The SRT file must be external when used with MP4 and can be either external or internal when used with MKV. When using SRT subtitles, make sure your movie and the SRT file have the same name, otherwise the Roku will not know which movie it is associated with. Plex Media Server should scan your video file and automatically download the SRT subs for you. If that works for you, great. If not, you will need to download your own SRT subtitles if needed.
If you don't want to mess with SRT subtitles, you can also embed the original subtitles from your DVD or blu-ray movies. For DVD, you can use either the MP4 or the MKV container. For blu-ray, you have to use the MKV container as PGS subtitles are not supported with MP4. Roku may never support embedded VOB and PGS subtitles, but Plex can help you by means of transcoding.
In Handbrake, add the VOB or PGS subtitle track you would like included in your movie. Make sure you leave the 3 check boxes unchecked. Handbrake will now repackage the VOB or PGS subtitles into your video file. You can use PLEX to display VOB and PGS subs by selecting the VOB or PGS track and then setting the play option to Automatic. Plex will transcode your file on the fly to display the subtitles. This is currently the only way to do this with Roku. Otherwise you will need a dedicated HTPC, a RasPlex box or other alternative streaming box to display PGS subtitles without transcoding.