Along with the Groove Music update on the Xbox One, Microsoft has pushed a small update to the Movies & TV app on [Windows 10] (/./windows-10) desktop. It's good news for folks who use subtitles with their own personal videos.
"With the latest version of @MicrosoftMoviesTV on #Windows10 desktop, you can pick your subtitle files during playback for personal videos. - @ellenment"
The version number you're looking for is 3.6.1780.0 and it should be pushing out right about now. Fire up the Windows 10 Store or use the download link below.