Not all clients support playback of „stacked“/multi-file movies. That being said… there’s a few topics you could check on your side before taking more drastic action.
Have you already checked off your file against the restrictions listed in the related support article? This article also contains information on how to merge those files to avoid the problem right from the start (that being the more drastic action 
):
Notes :
- Not all Plex apps support playback of stacked media
- All parts must be of the same file format (e.g. all MP4 or all MKV)
- All parts should have identical audio and subtitle streams in the same order
- Only stacks up to 8 parts are supported
- “Other Videos” libraries or those using the “Plex Video Files Scanner” do not support stacked content.
To get a better overall experience, we encourage you to instead use a tool to join/merge the individual files into a single video. There are multiple ways you can do this and a quick search in your favorite search engine should give you some options on how to “join” files. An unofficial guide with one free tool has even been posted in our forums.
Related Page : Forums: Joining multi-part movie files with MKVtoolnix GUI
