Strange. Did you refresh the artist after you did the Plex Dance?
Just for fun, I added the album Ultraviolet to my library, with the same genre tags you used. The Artist, “All About Eve” immediately came up with the associated genres from the album. I then changed the genre tags on just one track to Country and Classical. When I refreshed the artist, the new tags from the album/tracks were reflected in the artist. Note: the new genres did not show for the artist until I refreshed the artist, simply refreshing the album (or adding a new album) made no difference. The artist maintains the genres that were previously associated until you refresh the artist - in your case, there were none.
