The recommendation for a non-blocking implementation of Subscribe is made for the java adapter interface, on which the Data Adapter runs in-process with the Server.
For remote Data Adapter the requirement on Subscribe has been relieved (you may have found a stronger one for older versions of the .NET adapter interface).
Anyway, in order to invoke Subscribe, Lightstreamer library needs to spawn a thread for each call (and to enqueue calls for the same item). So, if you can find a way to keep the invoking thread busy for a short time, this should be beneficial.

Actually, sending a SubscriptionException is not very different from just not sending updates, as the information is not forwarded to the clients. By sending a SubscriptionException you mainly avoid to receive a redundand Unsubscribe.
So, if you defer the management of Subscribe, you should not have problems.