Hi and welcome to the WD community.
The media library is the amount of media,(movies, pictures and music) you have on your drive the media library feature on the unit is used for easier access to your files on the drive by category without having to browse through the foilders.
Plex is a media server software that would let you stream media from your mac into a DLNA device on your network, since the WD TV Live works with DLNA it should be able to see the Plex media server that you have on your mac.
Regarding your third question, I would recommend checking the following link to see if this helps you out.
