Beside KMP I've also used Media Player Classic with ffdshow filter, which are both included in the K-lite codec pack. No other filters are needed
ffdshow can be configured to display subtitles, to enable or disable various built-in codecs, to grab screenshots, to enable keyboard control, and to enhance movies with increased resolution, sharpness, and many other post-processing video filters. It has the ability to manipulate audio with effects like an equalizer, a Dolby decoder, reverb, Winamp DSP plugins, and more. Some of the postprocessing is borrowed from the MPlayer project and AviSynth filters
https://en.wikipedia.org/wiki/Ffdshow
One subtitle will be displayed by MPC and the other is embedded in the video stream by ffdshow. In fact you can use any other players as long as ffdshow is used to decode
When ffdshow is decoding a video or audio, its icon will be shown in the notification area. Just right click it and enable Subtitle. You may need to open the configuration to select the appropriate subtitle file, or simply set different rules for MPC and ffdshow to load different subtitles

A downside of this is that the ffdshow-rendered subtitle quality will decrease if you zoom the video out, since it's embedded as images in the video stream. But so is the video's quality, so it's not a big problem
Feature-wise ffdshow is the best decoder I've ever used, with many useful filters like post-processing to increase the output quality significantly. However in the last few years the default filter has been changed to LAV filter. You can still use Codec Tweak Tool to change the default back to ffdshow if you want