You shouldn’t be getting back your own IPs (or your vpn IPs) when you do a lookup of plex.tv.
In the plex network settings, just make sure to select the WiFi adapter as the interface. (But not sure how this impacts vpn)
Something seems to be off with the config with the vpn. I’m not familiar with getting Plex to work with a vpn, I know a lot of folks have issues with split tunneling.