The actual music doesn’t go through Plex cloud servers (unless you have a Plex cloud server that is handling your music library).
Data provided to your Sonos speaker about your music library - the artists, albums, songs, playlists, etc. - is retrieved from your Plex server and formatted for Sonos by the sonos.plex.tv server. As soon as you go to play a song, it is streamed by your Sonos speaker from the Plex server.
If the Plex server you’re playing from is in the cloud, then it will stream from the cloud.
If your Plex server goes through the same router as your Sonos speaker, your router will, if it knows how to, “hairpin” the connection without using the WAN connection (some people have routers that can’t do this, and thus have problems playing music via Plex on Sonos).
As an example, while I was playing a song through Plex for Sonos, this is the active connection my router was showing for my Sonos speaker after a couple of minutes passed (to give the sonos.plex.tv connections time to expire). Note that this is on the LAN interface, and it shows a connection to my WAN IP address (in parentheses, partially obscured) and the port I’m using for Plex. If it were using my internet connection, there would be an additional state on the WAN interface for the internet-based connection. My router (pfSense) is smart enough to know that this connection is to its own WAN address, so it keeps the connection internal and doesn’t use the internet connection in any way.