This is the place to post (so you did).
Plex HTPC isn’t the only client that lacks support for stacked files and while there’s no conclusive list, it’s at least mentioned in the support article, that not all clients do. Personally I favor to actually merge such files (e.g. Lord of the Rings Special Extended Edition which was released on 2 discs) – this gets rid of all the back-and-forth.
