I wonder how much of that is because subtitles themselves are a mess, and it's highly dependent on the environment the player is running in.
Some subtitle formats (notably DVD & Blu-Ray, if you're ripping your own content) are actually image formats with timecodes. There are other text-based subtitle formats. If a player (say, the Apple TV) supports one type but not the other, Plex has no other option but to "burn in" the subtitles on playback.
Nah... you can only select subtitle BEFORE starting a movie. This detail must be fixable regardless of messy subtitle formats. I chalk it down to Plex being US centric, subtitles don't seem as important in that market I think.
I often use subtitles (often in ASS/SSA format) on content i'm streaming from Plex and have no issues changing the subtitle format mid-stream - if the subtitles are being burnt in because the player (e.g. Plex Web or mobile apps) can't natively render them then there's a few seconds delay before the video resumes. On players that can natively render them (e.g. Plex Media Player or Kodi with the PlexKodiConnect plugin), the changeover is instant.
For me while playing, there is only one subtitle to choose from. The one I chose before starting the movie. No matter how many subtitles the file actually has. I'm using the Apple TV Plex app.
From experience, that delay when you try to switch while it's using burn-in subtitles can increase quite a bit on slower servers, but as you said the switch does work (eventually).
Set the default language and set default subtitles to always use available subtitles and unless you're a niche case of always changing your dub/subtitle language you should be good to go for most, if not all, cases?
This was a problem with playing some of my anime collection with EN dub and no subtitles. Now it defaults to JP dub and any available subtitles (99% of the time is only EN Subtitles, sometimes there are JP/CN and I haven't seen what happens in that scenario yet)
This isn't the case on all Plex clients. I know on the Roku, you just have to hit the gear for stream settings and can change it mid-stream. I vaguely remember encountering something like this on the Android client and being really annoyed by it, but I don't use Plex on my phone very often so hasn't been a big deal for me. (and maybe there's a way around it?)
I think they are more important in the US than they are in europe, for example. Because foreign movies in the US are not being dubbed into english. In most european countries the movies are dubbed into the language where they are shown.
I found it surprising that DVD subtitles are images, but then I realized it made sense back during the introduction of the DVD, with the crazy world of text encodings. Chances were high that the Elbonian-made player would get the encoding of a subtitle stream wrong and display Mojibake!
With images they had a benefit of being able to do fancy things like use different fonts.
The only thing Plex does badly is subtitles, which both Kodi (of course) and simple players like BSPlayer does well.