That’s right. No loudness. To be sure I deleted my library and re-added all my music. Reauthorised Plex in the Sonos app. Reauthorised the Alexa. No difference at all. I can ask for Plex music on a normal Echo device and it works fine. Sonos fails.
OK, weirdness. After the above troubleshooting, I went into the Alexa app and deleted all the groups my Sonos speakers and Alexa devices were a part of and then recreated them and setup the preferred speaker options again. This time I put Alexa devices and Sonos devices into separate groups rather than joining them together and now, it works!
Looks like there might be two separate problems with similar symptoms going on here. I think the loudness is relevant (as you’ve found) but also groups/preferred speaker settings in the Alexa app also looks to have an effect too.