If I click “Try again” with the server started it fails almost instantly. So it seems that it reaches the server but something is not working as expected.
I believe this was my fault. When I enabled 2FA I checked the “sign out of all apps and servers”. I failed to read the full text where it says I’ll need to physically access those devices.
I was using a VPN into the network where the plex server is, so I was accessing it with 192.168.X.X:32400 and could not claim the server.
I created an SSH tunnel into the server that hosts Plex, set up a proxy to use the tunnel and accessed the same IP 192.168.X.X:32400 and was able to claim the server.