This has been an issue now for the past while, I think since the Plex app for Roku moved to the 5.1.x code stream. From what I remember 5.0.x worked well without any issues.
Anyhow - the issues appears to be if you have multiple embedded subtitles in your video container (mkv in my example) and you want to use one of them. Nothing is disabled.
I'm running the latest plex server and the latest Roku firmware.