I use a split tunnel for the VPN. You can route specific applications/services to go through the VPN, and leave the Plex access how it is currently if you want. I have my jellyfin server set up that one of my browsers and qbitorrent all go through the VPN tunnel that's always connected, then RustDesk, my file server, jellyfin and what not runs locally. So I don't have to lose access to Jellyfin when acquiring any content.
Note: you can actually kick off a download through the VPN, and tell it to download sequentially, then just refresh the movies list in your player(jellyfin for me) and start watching the movie while it downloads. Thought that was a nice surprise.