If you want to run a VPN all the time, you best option is to use a VPN service that offers split tunneling by application.
I use PIA and add all PLEX apps on server as application exceptions and a non default Browser. In my case Chrome with a Home page and bookmark. This way you open Plex server via Browser directly, without using the Plex Chevon. Works perfectly. This idea has expanded to add Bookmarks to sites that are Geo Restricted to my home country.
What I have also found PIA accepts 3rd Party DNS, so now my total internet set up goes through. So no more DNS rebinding issues. TV included.
