I think the Roku firmware in general is very limited in what character sets are supported. There have been many requests over the years in the developers forum to support other character sets, but they've all fallen on deaf ears. Bearing in mind that Roku is only supported in certain regions of the world I wouldn't expect any support forthcoming, but you never know.
I have the same problem with my newly purchased Roku TV, and I can't believe Roku do not support other encodings subtitles! There are thousands of non-English speakers living in the regions such as US and Canada that Roku sell its products. Arabic, Persian and Hebrew native speakers are totally being ignored by Roku. I read that Japanese and Koreans actually all non-Latin languages have the same problem.
People are asking Roku for adding other encoding support even since 2013! I had much older TVs in Tizen that was able to show persian and Arabic subtitles easily!