That is a sore point. (And it differs with the type of Plex client you are using.)
Because of this, personally, I avoid using multi-parts as much as possible.
You can solve the original problem like this:
Add the crossover episodes as special episodes (i.e. in Season 00).
Sometimes you will have to “invent” episode numbers for them because they are not listed in the episode lineups on TheTVDB or TheMovieDB.
But make sure they got the right “Originally Available” date assigned to them.
This date then enables you to watch the show just regularly. The specials will appear in Continue Watching at the right time, because Plex knows the release date of all episodes. If you’ve just watched a regular episode and then there is a special with a release date immediately afterwards, you will get offered it in Continue Watching.
(a con of this is that it will not work if you do a binge watching, where you flip immediately from one episode to another.)
The release date also enables you to do something like this: Watch crossover episodes of several series in-order
