The closest you can see is not close at all. The closest would be /mnt/tank/plex. If /mnt/tank/plex does not exist (and the storage screenshots you've shown don't prove that by any means--they don't show directories, only datasets), create it. What would be stored there would be the configuration and metadata for Plex. That way, you can easily destroy and recreate the jail if needed or desired, with no reconfiguration needed.
I'm confused by the disparity in the advice you and INCSlayer aregiving. His reply says I should create /config inside the jail, which makes sense. But the command is to map /mnt/tank/apps/plex to that directory. If I also have to create that directory, why? it would be empty, and I would be creating an empty directory inside the jail and then pointing it to an empty directory outside the jail. Why wouldn't I use a directory that was created during the jail creation command?
Standing up plexmediaserver from the package means it is using some default configurations. Those configurations would be installed somewhere in the jail as it was created. Is that not correct?