The issue with the name "plex" was that I had another jail running that had been named "plex" at some point in its life, and that caused some form of networking issue. Unclear whether within FreeNAS or in my CPE. In your case, as long as installation of pkg and plexmediaserver worked, you are all set.
And yes, your plex user needs access to that media dataset. In my case it's a SMB-type dataset with read access for Everyone, and full access for owner and group, with owner nobody and group shared. Pretty basic setup. This works for playing media. If I wanted Plex to "optimize media", which means it will transcode and write a transcoded version to the media storage, then I'd need to give Plex write permissions. Which could be done by changing the owner, or adding an ACL, either will work.
Edit: Adding an ACL works better though, as folders created via SMB will have the logged in users as the owner, and changing that owner after the fact is an extra step that can be avoided by having that additional ACL. ONLY needed if "optimize" is desired.