Sadly Plex collects some data about its users. I remember opting out of some telemetry stuff but I can't remember where that was. If you want a self-hosted streaming service like Plex that completely respects your privacy, Jellyfin is what you're looking for. I tried it and it's okay but not as good as Plex imo. But if your main focus is privacy then you should definitely check it out. It's FOSS.
Edit:
I found where I had to opt out some data collection for Plex. Open this site, scroll halfway down the page. You'lle see two checkboxes for "Send playback data to Plex" and "Advertising Consent".
What is your favorite cybersecurity tool and why? (discuss.tchncs.de)