Clients talk to the server via TCP/32400 (at least my Android phone does).
Your server talks to your NAS via SMB, NFS, etc file sharing protocol.
It would get messy very quickly if Plex had to add SMB, NFS, etc protocols to every client.
The Plex team can weigh in with details (and let me know if I’m off base), but PMS probably has limited knowledge whether the data is stored on a local drive or a NAS. PMS talks to the OS and says, for example, “I need to read the file at D:\plex media\movies…” The OS then provides the file. PMS doesn’t know if D: is a local SATA drive, a USB drive, a mapped network drive, etc. (substitute mounts points for drive letters if you’re using Linux).