Join them. Not all Plex clients handle split file well.
From Naming and organizing your Movie files:
However, to get a better overall experience, we encourage you to instead use a tool to join/merge the individual files into a single video
Joining is easy with MKVToolNix. The output will be a MKV file.
If you need mp4/m4v, you can remux the combined file with XMedia Recode, Subler (Mac), or similar tools.
You can also use ffmpeg if you’re OK with command line tools:
ffmpeg -i input.mkv -map 0 -c copy output.mp4
Remuxing is fast, as the tracks are copied, not re-transcoded.
https://support.plex.tv/articles/naming-and-organizing-your-movie-media-files/
