If the origin server (your plex server) does not have an SSL certificate you either need to change your SSL/TLS mode to Flexible for your zone or create a Configuration Rule to make the SSL/TLS mode to “Flexible” for this hostname only.
Please note that Flex is usually hosted on port 32400 which is a port that is not supported by Cloudflare. You would need to change the port used by Plex to one in our Network ports | Cloudflare Fundamentals docs
Additionally, do note that proxying streaming services goes against our Terms of Service so from this standpoint, you should keep the record for your Plex server in “DNS Only” mode.