Wild stab:

*Right click on window-> Options -> Subtitles -> Misc -> Ignore embedded subtitles
*Subtitles -> Default style

Doesn't work?

Make a different .ass file (demux .ass then use aegisubs -> style manager) with the font you want and name the .ass the same as your video file, then right click in video -> subtitles -> the .ass file you want. There's other options like going to your quick launch and messing around w/ your Direct Vob Sub...

Or actually demuxing the .mkv and remuxing a new .ass file (aegisubs -> style manager) w/ the font you want if you wanna embed the subz and be all hardcore about it.

Muxing programs are called mkvmerge gui and mkv extract gui