Yes. The symlink method should work. Note that it has to be a symlink created in Terminal.app, not a Finder Alias.
The USB drive you’re using, was it formatted for the mac? - I don’t think things will behave if it’s a FAT/FAT32/exFAT drive.
You’re following these instructions? Share the commands that you typed.
In Terminal.app, create the symlink again. Then do this and share the results. It will show where the symlink is pointing.
ls -l ~/Library/Application\ Support/Plex\ Media\ Server
And this, which will show the contents of where it’s pointing - note the / at the end:
ls -l ~/Library/Application\ Support/Plex\ Media\ Server/
