There are many pitfalls to avoid before you can make this a seamless experience.
In fact, the pitfalls are so manyfold, that only very few users would be able to actually create such a set of files.
Now given the potentially low uptake, so far Plex developers haven’t invested any of their time in this.
See X-in-1 mkv support (Ordered Chapters, Segment Linking)
True Ordered Chapters (NOT segment linking) in MKV
