Ok I Won!!!
The process is:
Install manually the last PSM built, downloading it from plex site.
Log in and make the PSM search for some media, no matter which ones, just create a library and point to a media folder.
After a while (2 minutes also if it's still searchin') log out.
Stop the server.
Reboot the nas.
Copy the folder containing DB from PC (%LOCALAPPDATA%\Plex Media Server\Plug-in Support\Databases) to the NAS DB folder (/mnt/HD/HD_a2/Nas_Prog/plex_conf/Plex Media Server/Plug-in Support/Databases).
In the same time before starting the server also copy form the windows installation these two folders:
%LOCALAPPDATA%\Plex Media Server\Media
%LOCALAPPDATA%\Plex Media Server\Metadata
and place'em in /mnt/HD/HD_a2/Nas_Prog/plex_conf/Plex Media Server on the nas.
Be careful to remove the one created by the installation and not to overwrite them (else it does't work).
Start the server, you'll find your library but the media are all absent 'cause it has no right adresses for them.
Now go in panel on the left and modify a library. (Click the pencil)
Remove the old folder and put the new one. (one library at a time not all together) wait for the library to rescan and do the next.
Log out, stop the PSM and reboot the nas.
Thanks to me.