It appears that there is no gapless playback support in the normal Plex Windows client (the “Plex for Windows” one here: https://www.plex.tv/media-server-downloads/#plex-app)
This creates a really terrible listening experience on some albums, which are designed to be played continuously from start to finish.
(Note: I tried searching but couldn’t find another request for this, which strikes me as odd since this is a super basic feature.)
There are enough requests for gapless playback. No need to create yet another one.
