Not all players will play mpeg files that are not authored, and very few (if any) will see external subs. None will allow for menus and chapters. If you want all these features, you have to author the files as a DVD.
If your mpg files are already DVD compliant then there is no quality loss when you author (assuming you use the correct tools). Use the latest g-spot to determine if your mpg files are ready for authoring.