Did it download the original file or are there download options transcoded on the server?

Although Plex is running on your server it isn’t there to do what you want… unless Plex’s real owner permits it.

That’s how proprietary software works.

Techy people are a lot more likely to jump through hoops because that knowledge/experience makes it easier for them, they understand it’s worthwhile or because it’s fun. If software can be made easier for non-techy people and there’s no downsides then of course that aught to be done.