Mind the slash '/' before #xnsub.
extranonce.subscribe feature is already included in the latest firmware, but we recommend you to upgrade the firmware with our patches for the following devices.
Instructions on how to replace stock AntMiner cgminer binary are included in the zip packages as README file. Full firmware upgrade is done through the usual official firmware upgrade procedure.
Upgrade to the latest stable firmware and you'll find an option to set "ExtraFlag" = "2" at the "Settings" page. After setting this flag, you have to reboot the miner (not just restart the mining, but actually reboot it) and it will boot into cgminer4.8.0 with extranonce.subscribe enabled (no need to use SSH, etc.). Then, set your pool connection as shown above (use #xnsub suffix for stratum URL).
extranonce.subscribe feature has been included in the xnsub release of the firmware, which was prepared by Canaan Creative Avalon developers and can be downloaded through the following links.