See the response in this thread, from Elan, Plex CTO. He explains why the Shield sends PCM to the AVR when playing music.
Plex has two parts - a server, which holds the media, and a client, which plays the media. They can exist on the same physical system or on separate physical systems.
When you use the Plex client app on the Nvidia Shield, it streams the media across the network from your Plex server to the Nvidia Shield and then into the AVR HDMI port to which the Shield is connected.
If you run a Plex client on the same PC as Plex Server, it still streams the media from the server, just that the stream never leaves the system (an internal stream, as opposed to a network stream). The client will send the media (audio/video) to its HDMI port on the AVR.
If you wish, you can run Plex Media Player, PMP, on the PC running PMS. PMP is a very robust Plex client that direct plays most media. You will need to configure PMP to passthrough the desired audio codecs to your Marantz (it is not automatic like the Shield). See this post. Read the “Re: Plex Media Player on PC” and “Plex Media Player Settings” sections for information on configuring PMP for audio passthrough.
Basically, given your setup, you’ve two choices: a) Plex app on Nvidia Shield, or b) Plex Media Player on PC. Both should sound good.
FYI, do not use the Plex Windows Store app. It has not been updated in ~18 months. PMP is much better.