The 'play video file on page' and 'play video in pop-up' modules support subtitles.
Select the Subtitle tab within the module.
Subtitles are added one line at a time in the subtitles fields and a timecode is specified for when they should appear (in seconds). This relates to the duration of the video, not the gap between the subtitles or the time a subtitle will be displayed for.
Don't forget to tick Show subtitles in the Settings palette for the module. This will ensure that that subtitles you have added will display when your video plays.