So far I could not figure out how to stream external subtitles from DLNA server. However WDTV supports MKV container and subtitles can be embedded in to the video file. To do this use mkvmerge tool from the mkvtoolnix set. Obtain the srt subtiles for the content you want to watch and then run following command to merge the subtitles and the video in to one mkv file:
mkvmerge.exe -o output.mkv input.mp4 input.srt
This will produce the mkv file that can be streamed over DLNA and your WDTV will be able to display the subtitles. Roku on the other hand can not display subtitles from the MKV container and needs an external file. Given that Roku often crashes when playing or navigating in the MKV file, you would need to keep a separate mp4 file and a srt file for the playback on Roku.