I can give you a workaround for this that I’ve used. In the jail edit the file Plex Media Server Preferences.xml file (in my case) located at:
/usr/local/plexdata/Plex Media Server/Preferences.xml
and add the attribute
disableRemoteSecurity="1"
to the Preferences element.
Then give your server a restart and check again
/usr/local/etc/rc.d/plexmediaserver restart
Not the best security but it enables you to set it up. See Plex.tv for more info.