In SF settings, you need to have it set to remux into file.
And some providers when download pops up it also will have a setting to remux into file.
One other thing with PLEX, I only use with Roku, I have to set the setting in the Plex app, Burn Subtitles, to Always.
Even if you download the srt and have both that file and the video file together, Plex will display the subtitle, if set to Burn Subtitles : Always.
As for other devices, the settings are usually similar, I used to do Plex on smart tv but Roku gives better performance.
Also, some services don't have subtitles, others give them even if you don't want them.
As far as Peacock, Amazon, and Netflix subs work. Also, YouTube on most things and Roku, Tubi, Pluto.
SF settings:

If downloading from Amazon:
