Short Answer: You’ve got it right. ARC is between TV and soundbar, and is not needed between Shield and soundbar. Play one of your MKV files w/ TrueHD or dts-HD audio & see what happens.
ARC passes audio from the TV back to the soundbar. It is needed if you use the over the air tuner in your TV or YouTube etc app if you’ve a smart tv, etc. Before ARC people had to run a separate audio cable from the TV to their soundbar/receiver. With ARC you just need one cable instead of two.
Troubleshooting Tip: In Plex app on Shield, set Display Information = On. When playing video, pull up on screen controls (pause, etc). Look in upper left corner. It will tell you if media is direct play / direct stream / transcode and give a reason if direct stream or transcode. Think this is a feature for Android TV clients, as it works on Amazon Fire TV devices as well.
You can also check status with Status → Now Playing: https://app.plex.tv/desktop#!/status/playing. It will show Direct Play, Direct Stream, Transcode.
Long Answer:
First a caveat: I don’t have a soundbar. In theory, a soundbar acts like a receiver + speakers in one package (Scenario 2 in my original reply). In practice, there can be implementation issues specific to various makes & models (happens w/ receivers too).
With the Shield connected directly to the soundbar you do not need ARC for Plex, or any other Shield app, to work. The Shield sends audio + video to the soundbar. Soundbar decodes & plays audio and sends video on to the TV.
As long as the soundbar supports the audio stream, it will Direct Play. Otherwise, Plex will transcode the audio to a format supported by the soundbar. This is where “in practice” comes into play. There have been implementation issues w/ some soundbars resulting in transcoded audio when it should seemingly Direct Play. If you run into this, you can search the board for answers or open up a thread and include details such as soundbar make/model, PMS version, and Plex client version along with a good problem description. Chances are somebody has already run across the same problem and can help.
As long as the TV supports the video stream (H264, H265, etc), it will also Direct Play. Otherwise, Plex will transcode the video. Plex currently transcodes all video to H264 1080p or lower. 4K & 1080p transcode to 1080p. Lower resolutions match the source (i.e. DVDs transcode to 480p, not 1080p).
Regarding Audio Return Channel (ARC):
ARC is used to pass audio from the TV back to the soundbar (i.e. TV (A)udio (R)eturning along the HDMI cable to the soundbar).
As mentioned above, you do not need ARC for Plex app on the Shield when Shield is connected to the soundbar.
You do need ARC if you use the over the air tuner in your tv, any apps such as YouTube if you’ve a smart TV, or if you’ve a cable box, blu-ray player, or similar device attached to the TV. On the TV there will be a specific HDMI port that supports ARC. Connect that port to the soundbar port that supports ARC. Check the TV settings as well. ARC is not always enabled by default.
Hope this helps. Probably way too long and way TMI. 
Cheers.