Plex Docs → Your Media → Naming & Organizing Your Movie Files
Name the files according to the Movies Split Across Multiple Files section (Hint: dash, not underscore).
You may need to Plex Dance the movie after renaming.
That written, as @JaysPlex mentions, you would be better served by combining the two parts.
See Forums: Joining multi-part movie files with MKVtoolnix GUI
