Gabriel, my setup is a 42LB630V TV set and a NSA310 NAS which runs Plex server and Twonky media server. If I browse for video (movies) from Smart Share app (from TV) the subtitles are not loaded. Instead I'm using Bubble UNPN on my smartphone: I'm browsing for files and send the video playback to LG TV. On this manner the subtitles are loaded. As an observation, this happens only for external subs.
Well, I can't setup the broadcast country on Brazil, my TV set is designed for EU. But I set it up for UK and found the Plex app. But, since I'm not a Plex pass subscriber, it doesn't help me.
Update : right after the prevoius post, I've installed on my Nexus 4 an app named BUBBLEUPNP. Using this I was able to play mkv files with subs on my LG tv, from all previous servers, except plex.
I gave up! I've tried two more DLNA servers : twonky and rygel. The result is the same : no external subtitle enabled. On my Nexus 4 I can render mkv files with subs with no issue, using twonky, plex and rygel. Maybe this TV model can't handle external subs using DLNA.