What worked for me is to add Sonos though the casting option on my iPhone app. It requires your Sonos credentials and approval to let Plex access/control the Sonos system. Once the Sonos speakers show up in the casting menu of your iphone, get back to the Plex desktop app. You’ll find the Sonos speakers added to the casting menu there.
Note that Plex apparently is not aware of the wifi you’re currently on, and shows all known Sonos speakers 
See the topic franmorgan posted earlier Remove to reverse option to Cast to Sonos once activated.
Hope this helps.
