You add the shows using a TV Show Library, but use Personal Media Show agent, as the shows are not listed in tvdb.com.
If you use the MP4 container and have embedded metadata, Plex will pick it up. You must have Local Media Assets enabled. See the support document.
If you use the MKV container, you’ll have to manually edit the episode names in Plex. Plex ignores everything after SxxEyy in TV show file names.
See this thread as well:
