My (limited) understanding is that the WD Live doesn't support external subtitles with MKV files over DLNA.
Until WD Live firmware upgrades fix this (if ever) you will either have to:
- Embed the subtitles into the MKV file using a tool like mkvtoolnix or XMedia Recode; or
- Burn the subtitles into the transcoded stream using Serviio
If it was me, I'd do the first option as it is a quick, once off process, that doesn't involve transcoding the video stream.