Did you not do this step originally when you setup PMS on the Shield? Or did you only run the initial setup wizard from the Shield client app?
Keep in mind, there are TWO separate plex functions on the shield.
Plex player (this plays back media from any plex server).
Plex SERVER (this indexes and serves the media to other plex CLIENTS)
Both have to be configured correctly to work correctly. 
Also, they can be as either/or.
You can use the client only (use a plex server running elsewhere).
Or use the server only (to plex clients like a tv or chromecast or mobile, etc).
Plex client is configured in the app settings.
Plex server is enabled/started in the app settings, but is configured via the plex web admin ( https://app.plex.tv/desktop )
[mod edit] comment deleted for cross posting. Internal vs External database with 16GB Shield TV. Formatting? Transcoding problems? File transfer?
Sometimes I found the Storage Location option at the end of the “Advanced” row.
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