The Apple TV (hardware) can do what you're asking using a voice command "What did he/she say". It's possible it no longer works in every app because services insist on writing their own players that don't work as well as the player provided by Apple TV.
When Subtitles are set to 'auto' i think it now automatically turns the subtitles on like that when you do the skip back command.
But yeah, the Siri way (much as I loathe using Siri) is the definite way.