Are you watching on the Desktop?
There’s a funny little thing with (my) Windows 10 audio section wherein it’s enhanced features always wants to select the desktop speaker setting instead of the higher end setting (or the TV).
Open the Player App (not Plexweb, right?)
Right click the speaker thingy in the system tray
Open Sound Settings
Scroll all the way down to Advanced Sound Settings (app volume and advanced, bla, bla, bla)
In there, make sure the Plex Player app is using the most mojo you have and not the least.
Once you set that it’ll remember - at least it does here.
The other option is to use Plex Media Player - the Alpha Dog of the Player Apps - and utilize it’s built in enhanced features and settings available when in TV View - when set can be used in any view:
I hope some of that hits pay dirt for ya.