Right-click on the video playback interface and find an option [Lyrics and Subtitles]. After expanding it, you can see that the default is [Off]. After selecting [On (if available)], close the player and then play the video again.
After spending more than 10 minutes, I finally found the key to the problem. It was actually very simple, but its location was a bit strange. Go to "Tools" - "Options", switch to the "Security" tab, and select the options in the red box in the picture below.
To let WMP12 display external subtitles, you only need to check "If local language subtitles are provided, please display them" in the "Security" option. There is no need to convert the format or use third-party tools.