I’m in a similar boat. Are you playing the shows from the home/dashboard page? If I’m connected and play a show/film that I have downloaded from anywhere other than the downloads page, it tries to stream it (and that’s a terrible experience). Only if I specifically go into downloads and play from there will it use the local file.
This is unhelpful functionality, but (for now) seems to be how it works.
( https://forums.plex.tv/t/play-downloaded-media-before-streaming/881662 )
