Short answer: no. Roku has not added premium features like that. Any Roku device will require video transcoding to show image based captions (PGS, VOBSUB). But Plex is capable of doing that so you should still be able to see your captions on a Roku device using Plex.
Besides the Shield, there are a number of other streaming players that will display image based captions without needing a transcoding server. Literally any Android based player can do so, either using Plex or another player app such as Kodi. This includes the Onn 4K Media Player, tons of generic Android boxes, and the Fire TV Cube can match the Shield by bitstreaming lossless audio to an external AVR. I use Shield players for my local media, but I did buy a Cube (3rd gen) for testing purposes and it works fine. I just can't stand the Amazon-centric user interface. And I'm a Prime member, so it's not that I'm anti-Amazon.
