Well, the linked study suggests watching with foreign audio and foreign language subtitles, not merely with foreign audio alone.

My experience as a language learner (French) supports the study. When I use English (native language) subtitles, my listening doesn't improve at all. However, my improvement with or without French subtitles depends on my level of comprehension. If I can understand most of the show without subtitles (~60% or more) I improve faster without subtitles. If I understand half or less, I improve with the subtitles. I guess this is evidence for Stephen Krashen's theory of comprehensible input.

I've been wanting to learn Chinese, but I'm not sure Chinese subtitles would help that much compared to if I were learning a European language. Maybe if the subtitles were in pinyin, but I don't know if that would even be an option for a lot of media.

Watching Chinese TV shows with Chinese subtitles definitely helped me a lot, not only because the subtitles gave me a second chance to get what I missed (which is the same with other languages), but also because I could learn characters for those words I could already recognise in speech.

Watch in your native language only if you don't care about acting at all.