PMP unfortunately has no support for season or episode linked extras, and neither does Plex Web. There are some clients that are able to display those extras, so that’s why the setting exists, but most people are best served by leaving it to show only.
The agent only interacts with the server, which supports everything, but that means that I’m not able to change anything in the code to enable it to work with Plex Media Player. It’s something that the Plex team will need to implement on a client by client basis.
It doesn’t seem to be a particular focus for them at the moment, but make sure you’ve voted for the feature request here
