There’s an existing feature suggestion asking for such an option.
You can comment/vote in that thread in order to avoid distracting votes.
I doubt this suggestion has a realistic chance to be implemented. Keep in mind that you / your Mac don’t necessarily have access to the folder used by your Plex Media Server. Even if you have, this can be mounted quite differently from how it’s linked to your Plex Media Server (unless you only want this for local folders – in which case it’ll only work if you’re working on the same device that’s running your Plex Media Server).
If you’re searching the file(s) linked to a library item, there’s always the option to manually check 
(Edit) > Info or ⋮ > Get Info for that particular item in Plex.
