Only certain players can display PGS subs. E.g. mpv.

First, signs and songs are the default.  Be sure you've selected the full subs track in your player.

Otherwise:
For MPC-HC or CCCP, go into Options/Playback and enable "Use the built-in subtitle renderer".  Then exit the program and restart the mkv.  (It's a long-time annoyance that happens with PGS subs in MPC-HC with the LAV splitter for 720p or 480p encodes).  You'll also have to choose full subs from the MPC-HC menu, as signs and songs are the default.

VLC will play the files without adjustments, but you'll also have to choose full subs from the menu.

Internal subtitle renderers used to be less capable, so that you'd want to turn them off when done for full-featured fansub-style playback, but it's not as big a deal anymore.  However, rather than adjust back and forth, you might consider installing VLC or alternatives for playback of 720p or 480p PGS.

If you're using something other than MPC-HC, there might be a similar work-around.