Plex the software running on your own hardware playing files on your own storage is a MiTM funneling your data through their servers to publicly accessible third-party APIs. Plex the company does not need to do that to play or catalog your videos.

Plex the cloud software (aka Plex the software on a VM) keeps them out of your private network but will still superfluously send your data from the VM to Plex the company.