I had this problem too, but I got it solved! I first used ffdshow subtitle filter and it worked with every other video file types well, except .mkv's. I had Cyberlink H.264 codec installed, for HD material in configuration->movies->player->H.264 codec. I changed it to ffdshow video decoder and voila! After that everything's been working just fine.
Only codecs needed for this:
ffdshow
.. and Haali Media Splitter is need to be installed also.
This problem is caused, because MP won't load ffdshow video decoder at all (if you don't have it as .H264 codec) when you start to watch .mkv files, so subtitle filter won't load also.
Best regards,
Hell_Angel
Ffdshow = no DXVA