that is correct in case of divx files. its more of a recommended best practice as the limitations of same directory and same filename have gradually been removed with advances in firmware
mkv is a container and nowadays the subtitles are in the mkv file itself.
so the pain of renaming and folder limitations are mostly taken care off.
divx files ( .divx /.avi containers)
there are .divx file containers as well which contain subs inside the container.
however u can point to an external sub file (different name, diferent directory) and click play then go to the movie file click play - this plays subs with the movie.
i have seen this in lg dvd drives as well which play divx...