I experienced this exact same problem (sonos app works but not plex app, spinning wheel, etc) and found the way plex interfaces with sonos was being blocked by my router (rebind protection). The solution was to add “plex.direct” to the rebind protection whitelist. On my router it was under DHCP and DNS settings.
This also fixed an error my server was having transcoding some videos and throwing an error An error occurred while attempting to play this video. Please try restarting both the Plex Media Server and this app.
