[1] General:
rightclick > Options > Preferences > Subtitles [Subtitle properties]
Then for primary and/or Secondary subtitles:
Click on Font and change "Script" to Cyrillic (or whatever is appropriate).
[2] With a media-file and subtitles loaded:
rightclick > Subtitles > Primary/Secondary > Subtitle properties > Font
Change "Script" to Cyrillic (or whatever is appropriate).