I have the exact problem. I'm not sure, but I have a feeling that plex wants to see all the traffic, and so, they want you to access your server through their service. YOUR_SERVER<->PLEX SERVICE<->iPhone/Android App. (Just a theory, but in reality they'd know your library this way, and although I don't know what they need this info for, it's not something you'd want them to have.... now, is it? :-)
Although I had this working before, there were enormous delays in the contacting of the server and it's really just a http connection, which I can't get my head around -- WHY it should be so slow, when contacting through the web browser it's lightning fast??
Now it seems they've removed the option entirely in the back-end... or then there's a bug somewhere.
It's like this with all good things.. at some point they want your data, and sell it to advertisers. Sucks, but that's just the way the world works.