Not all Plex clients support “stacked files”.
Best check in Plex Web that the files are actually recognized as multi-file videos – not different versions of the same movie (check the duration of the movie item in Plex and if there’s no multiple-versions indicator on the movie poster). https://support.plex.tv/articles/naming-and-organizing-your-movie-media-files/#toc-2
Personally I prefer merging such files. You can do that e.g. using MKVToolNix. The support article above also provides a link to a how-to forum post
