I am using the Zgemma H92HSE box in Client Mode streaming from a GigaBlue UE 4K also running 6.0.03 which has no problems activating subtitles.
On Zgemma H92HSE I press the subtitle key & get the 'X' in the top right hand corner as if I've pressed a wrong key. However if I watch back a Recording via 'Mounts' from the GigaBlue on the Zgemma I can select & watch subtitles. Confused??
Everything worked fine on 5.4.16.