The Hosted App at Plex.tv connects to your server directly - the internet is in the middle between you (where-ever you are) and your server.
https://app.plex.tv/desktop
Is secure - meaning no one can get between you, Plex and your server - unless they, for some reason, have your log in credentials.
Use the hosted app - if you need to away from home.
At home, use the local app.
Some things can’t be done with the hosted app anyway.
The Hosted app is just a very convenient way to access your server from a remote location.