Check subtitle are enabled under Play > Subtitles if you aren't getting them. The MPC author wrote the subtitle filter everybody uses so they definitely work in MPC-HC!
Strangely, I don't get the option for subs. I know they are there as they used to work, but now the subtitle option is just blanked out. I've just installed the Haali Matroska splitter, and still no subs. These deffinately did have working subs before, though.
And scratch what I said earlier, just found some mkv files which aren't working. The sound is playing fine, but the video is messed up. Its playing a few frames, skipping back several, then playijng again, , over and over. So its slowly playing forwards, but in no way watchable, since it ends up mega out of sunc, as would be expected.
Strangely, other episodes from that series do play fine, so there's a chance its simply corrupted files (The same thing happens to several, but an equal number play fine). Installing the splitter didn't fix this either.