Where do you experience this indirect connection?
If it happens inside your home network, there’s some glitch in your home network setup that makes Plex think it’s actually on a different network.
Generally, indirect connections imply that there’s a problem with your remote access setup. With remote access, there’s many players, so it could be a lot of different issues (ranging from your Plex config all the way to restrictions applied by your ISP).
When it comes to “connecting securely”, this is usually an entirely different story.
