It is a limitation of the version of mpv, the video player used in Plex for Mac/Win and Plex Media Player.
See thread linked below. It references Plex Media Player. It should apply to Plex for Mac/Win as well, since both use mpv.
The thread is a year old, but there has been nothing in the product announcements to suggest anything has changed. Plex for Mac/Win PMP
One other possibility is Kodi with the Plex for Kodi or the Plex Kodi Connect plugin. I do not use such a setup so I do not know if it will support HDR. You can look in the Plex for Kodi section of the forum for details.
