Given a hypothetical folder structure like this:
Star.Trek.Discovery.S04E06.German.DL.1080p.BluRay.x264-iNTENTiON/
├── star.trek.discovery.s04e06.german.dl.1080p.bluray.x264-intention.mkv
├── star.trek.discovery.s04e06.german.dl.1080p.bluray.x264-intention.nfo
└── Subs
├── star.trek.discovery.s04e06.german.dl.1080p.bluray.x264-intention-eng.idx
├── star.trek.discovery.s04e06.german.dl.1080p.bluray.x264-intention-eng.sub
├── star.trek.discovery.s04e06.german.dl.1080p.bluray.x264-intention.idx
└── star.trek.discovery.s04e06.german.dl.1080p.bluray.x264-intention.sub
Star.Trek.Discovery.S04E07.German.DL.1080p.BluRay.x264-iNTENTiON/
├── star.trek.discovery.s04e07.german.dl.1080p.bluray.x264-intention.mkv
├── star.trek.discovery.s04e07.german.dl.1080p.bluray.x264-intention.nfo
└── Subs
├── star.trek.discovery.s04e07.german.dl.1080p.bluray.x264-intention-eng.idx
├── star.trek.discovery.s04e07.german.dl.1080p.bluray.x264-intention-eng.sub
├── star.trek.discovery.s04e07.german.dl.1080p.bluray.x264-intention.idx
└── star.trek.discovery.s04e07.german.dl.1080p.bluray.x264-intention.sub
4 directories, 12 files
What’s the best way to integrate all the subtitles into the corresponding MKV file?
What they told you is misleading.
Transcoding and burning in subtitles for Plex and similar only happens in some cases if your streaming device doesn’t support image based subtitles. Plex themselves could fix this on a lot more devices but don’t.
10 years ago it was the case that there were a LOT of issues with anything but text subtitles. These days it depends. If you’re running it directly off a smart tv (bad experience anyways, not recommended) it’s likely to be an issue. If you’re using an Android streaming device or Apple TV or gaming console there’s a good chance the subs just work.
Truth is lots of things can force transcoding with Plex including using certain audio formats in certain media containers. Most of these days picture subs work. If you can get text subs it’s not a bad thing but I wouldn’t go through the hassle of doing flawed OCR unless you can confirm it’s an issue you’re experiencing with your setup.