Unfortunately for some of them even if the game works there are often cases where either mods don’t work or some overlay/other additional software.
On your answer though, I was under the impression that when you configure the KVM passthrough setup it makes the video card you use for the passthrough inaccessible for the host itself and that to make it accessible, it requires undoing some of the config and a restart. Is this incorrect?
Plex runs relay servers where your Plex server will connect to the relay and your player will also connect to the relay, making both ends of the connection egress type as far as routing and access control goes. https://support.plex.tv/articles/216766168-accessing-a-server-through-relay/
It’s optional and likely not everyone uses it, but this provides a way for Plex to do remote streaming without the Plex server being reachable directly from the internet.
Separately, it costs money for Plex to run.