I’ve always left out special / illegal file name characters such as the colon, slash, etc. instead of substituting another character.
Using a dash in the show name might work, but I left it out of my example for two reasons: a) it is not part of the show name; and b) Plex uses the dash as a separator between show name, episode number, etc.
I do not know how Plex matches TV shows. If it is similar to how movie matching works, then having extra characters in the show name reduces the quality/score of the match and could lead to shows being mismatched.
Also, the dash after Louis Theroux might cause Plex to ignore or discount the rest of the show name. This could also lead to merging the different shows.
If Plex is still merging the shows, try removing the dash from the show name, then Plex Dance the show.
