Roku devices have very limited built-in fonts. It's up to the developers of each app to add support for others, but I don't think it's possible to add a font to the subtitle components, so it would take a lot of work implement. I don't use Plex, but it has its own forum and I'd be surprised if this hasn't come up before.
https://forums.plex.tv/t/welcome-to-the-plex-forums/
https://support.plex.tv/
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