Depending on which Roku you have (and what you'll be watching) you should definitely enable the subtitle burn-in for at least all complex formats. You can do that in the user settings in the web interface.
The person you were replying to was talking about complex subtitle formats. All Roku models only support .srt style subtitles, whereas a lot of anime has .ass/.ssa subtitles encoded and bluray/dvd rips have image-based formats like PGS. Those more advanced/complex formats can't be played by the Roku directly, so your server needs to transcode the video to burn the subtitles in.
I switched from Roku to Google TV and I'm much happier due to subtitles support being only srt Roku. With that said, the Roku client felt polished and had better audio support, but the Google TV one works ok for my setup.