When I play my Matroska format video files, Parole does not load the integrated subtitles. I have no other video files available, so I don't know if it is able to load any subtitles from any other video file format either.
I just tested a matroska video with embedded and it seems that while the subtitles show up in the infobar, selecting them doesn't do anything. Will look into this issue (could also be a gstreamer bug).
Subtitles work with mkv files now, if you experience problems again, please report a new bug.