it does actually work but it is not intuitive and the info available doesn't help.
you might take a look at Apogee's newsletter #118, there is a pretty good step-by-step explanation in there.
https://www.apogeerockets.com/education/downloads/Newsletter118.pdf
basically what you do is:
1 - in some design, add a sub-assembly.
2 - add the parts you want, under the sub-assembly tree
3 - when the parts are all right, go back to the tree and select the sub-assembly node. click edit on it, then click "save to database".
Careful, remember what the file name is and what directory you saved it in.
4 - when you want to use the subassembly, in another rocket, click in the parts tree and select "subassembly" in the Add New Component area in the Rocket Design Components tab. This will pop up a dialog, click "choose from database" and then go find that file.
the Rocksim Sub Assembly files have extension .rsa. that extension isn't registered by Rocksim so there's no icon for it. bad rocksim, bad
it would be great if we started making a subassembly library, maybe put it on EMRR or something.
seems like managing the "database" of subassemblies might take a bit of diligence with directories.
hope that helps!!