I have an UWP application which has a subscription feature for monthly or yearly based on user's interest and provides additional features for app. This is my first UWP application and an desktop version is working fine with worldpay integration.
Is Microsoft Store support third party subscription process as apple store doesn't allow subscription from third party.
It should not be supported. Checking the Financial Transactions section of Microsoft Store Policies:
You must use the Microsoft recurring billing API to bill for subscriptions of digital goods or services.