There are lots of folks with lots of preferences for files - I for one don’t like leaving out the 0 before single digit because it makes the filenames not line up.
What you’re running into is what has evolved\developed across media center software (and TV ripping groups) over many years. Anime fansubbers never really followed that format until recently and even then not so much and it doesn’t really work with OVAs either.
So, in order for a machine - software like Plex - to be able to scan TV Show files and match them to TV Show references online there need to be some parameters. One of those parameters that is common with TV shows is Season and Episode. TV Shows have seasons and episodes. It’s a structure.
So, the Plex agent scans your files and sees Macross II 1.mkv … is that Season 1 or Episode 1? It’s expecting the Season and Episode structure of S1E1 which is standard practice and common across TV show rippers and the sources for matching the files … and it’s missing from your file. It’s not that you didn’t include 0 on the number, it’s that you didn’t include a Season.
Plex file scanners also “know” 1 is more often used for seasons than 01 is so it thinks 1 is a season reference but if it has a 01 it “guesses” it’s an episode because that’s more common for episodes. If it can’t tell if it’s season vs episode it won’t guess.
What you’re running into is a problem specific to anime in that anime uses absolute numbering for episodes. That doesn’t mean 1 vs 01 but the fact that they number episodes 1-200 (like Naruto) instead of Season1-10 with 20 episodes per season. That’s what absolute numbering means in this context (not 1 vs 01). Older anime rips in particular - and especially things like OVAs like you have there - make it even trickier and just requires some additional management on your part to line up with the more common standards for TV naming. Newer anime releases definitely follow this structure better but some people still prefer things the same as you do as well - it just doesn’t work as well in a media center that needs to match the files to a media source like TMDB or TVDB.
So, when I grab fansubs I have to rename the files to include S01E01 (or S1E1) otherwise Plex can’t know that it’s matching the file to the right thing on TMDB.
All media center software works this way and was developed over years and years of managing this situation. Software for matching filenames to TV shows just can’t be arbitrary if you want it to match up reliably and you’re hitting a bit of the arbitrary stuff where it kinda works but doesn’t work well unless you follow the structure of SxxExx.
You can either do this per file or depending on your operating system you can have renamer apps help. OS X has a built in way to automatically rename files quickly. There’s a bunch of free tools that will do it on Windows. Filebot, the app I linked above, does a VERY nice job of renaming and formatting for you so that it will definitely match and work with Plex’s file structure requirements. Lots of folks like that one.
Edit: Here’s some of my own examples of ones that work but aren’t always in the ‘right way’. The thing is, I know they aren’t the right way so if they don’t work I have to NOT be lazy and rename the files. 
Macross:
/Macross (1982)
.../Season 01
....../Macross_01.mkv
....../Macross_02.mkv
That is NOT correct naming … but it works. It wouldn’t work without me putting it in that Season folder or adding the year (too many other “Macross” matches).
My Hero Academia:
/My Hero Academia
.../My Hero Academia S5E09 (97).mkv
.../My Hero Academia S5E10 (98).mkv
That is also not the right structure but it works as long as I have the SXXEXX in the name - and I use the (98) to keep track of the absolute episode number.
One Punch Man:
/One Punch Man
.../One Punch Man Season 1
....../One Punch Man 01.mkv
....../One Punch Man 02v2.mkv
.../One Punch Man S2
....../One Punch Man S02E01.mkv
....../One Punch Man S02E02.mkv
That all works that way but it ain’t right. I got lucky. Lazy wins this time.
Megalobox:
/Megalobox
.../Season 2
....../Megalobox 2 - S2E01.mkv
....../Megalobox 2 - S2E02.mkv
If it weren’t for that 2 in the name of the file I could have gotten away without the S2E part but the scanner wouldn’t know what that first 2 meant so… had to do S2E01 and put it in a season folder.
Renaming files is a pain in the butt sometimes but there are lots of tools out there to help automate it - most are free. So don’t stress it too much and sometimes personal preferences have to take a back seat to functionality.
