We are also changing how remote playback works for streaming personal media (that is, playback when not on the same local network as the server). The reality is that we need more resources to continue putting forth the best personal media experience, and as a result, we will no longer offer remote playback as a free feature. This—alongside the new Plex Pass pricing—will help provide those resources. This change will apply to the future release of our new Plex experience for mobile and other platforms.
They aren’t, all their server does is handle the login authentication afaik, and then streaming happens directly from the server to the user.
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They do actually provide a relay server if your personal server isn’t entirely accessible for whatever reason (for example I recently added a new NIC on my server which changed the IP and broke my port forwarding and my users were still able to watch my media via the relay). It is limited to low res quality but it is something they’re offering.