I think you don't want to do the "extract embedded subtitles" method, it's slow as hell and downloading external subtitles is much faster than the built-in extract, at least for HDR+4K mkv video which is what we end up with the most. Can take up to a minute for a 40 minute episode to extract the subtitles, which means you'll need to pause for a minute before you can watch with subtitles, with a 5950X CPU.

There's an official plug-in in Jellyfin called "Subtitle Extract" that does it automatically for you.

I personally use Bazarr instead, because I also want to download subtitles for different languages. In Bazarr, Embedded Subtitles is just another subtitle provider that can fetch subtitles depending on your rules.