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.