It will also delete TV show episodes automatically, if the server admin has set the episode retention to anything other than the default settings, shown below:
If you are using a Synology NAS, verify that the media files have proper access permissions for Plex to be able to access them.
The upgrade from DSM 6 to DSM 7 brought major changes in this regard: Synology FAQ - Questions, Answers, and How-To's - #37 by ChuckPa