PMS streams eg. Mkv files as is so embedded subs you should be able to choose manually on Android but not external ones. External ones must be burned in, it means you have to go in transcode folder and play required file with MEncoder engine.
Hm, that's odd... On my iPad everything works properly. The only way I found to watch .mkv's with subtitles on Android was with XBMC. (exactly with the same files as here on PMS)