Biggest issue I and my friends have with my Plex server is the constant buffer-play-for-a-minute-buffer issue with certain anime subtitle formats. Although the little bit of searching I’ve done with that indicates that may be more of an issue with the device being streamed on than with Plex itself. I dunno.
Certain subtitle formats cannot be directly streamed, so your server is probably re-encoding video on the fly to burn in the subtitles. PGS format is actually a series of images and will always require re-encoding video. Picking SRT should work with device direct streaming.
That must be it, then. Thankfully I’ve got Bazarr set up to snag SRTs for imported media, so those should generally be available.
As someone else said, this almost always comes down to the device they’re using. Especially if it’s a Playstation console or a Smart TV (in my experience) as they don’t support x265 codec or have .ass support, or both