You didn’t mention what OS you’re using, but if you’re using a recent version of Windows 10, check to see how the following Windows setting is configured:
Setting this to on will allow Windows to start programs which are configured to run at login to help speed the sign-in process if you don’t do so immediately. The side effect of this is that Plex should be started without having to configure auto-login. There are caveats to this, such as the fact that it doesn’t work if the PC is domain-joined, or if there are other policies in place which would prevent it.