MP4 and MKV containers can contain multiple subtitle streams which are basically the same principle as SRTs. As you can import SRTs with kdenlive, it makes sense that you should be able to pull out the subtitles from an MP4/MKV that you drag/drop into the project bin. Perhaps if embedded subtitles are detected in the file, subtitles tracks could automatically be added to the timeline when the file is drag/dropped into the timeline.
+1 I would also like to see this feature implemented. IDK if this should be marked as feature request or not.
It's possible to do this manually, if you extract the subtitle stream kdenlive will let you import it, but I agree it would be nice to have the ability/option to somehow do that automatically. It's a little bit tricky because subtitle files aren't bin objects like clips are - they exist as tracks on the timeline. So where to place them on the timeline when importing is going to depend on where you place the clip they were embedded in and/or which parts of it you actually use in the timeline. But I'll give this some though about what we might sanely do.