This is the only way this is working in Plex.
Official documentation for TV shows: https://support.plex.tv/articles/naming-and-organizing-your-tv-show-files#toc-5
for Movies: https://support.plex.tv/articles/naming-and-organizing-your-movie-media-files#toc-2
The only alternative approach is to merge the two files: [HowTo]: joining multi-part movies files with MKVtoolnix GUI