Is it possible to install a plex server on a My Cloud 3TB?
Simple answer: No.
Longer answer: It is possible, but it is not supported by Plex, and the MyCloud does not have the performance to support Plex, so it’s not worth the trouble.
Not sure what your requirements are, but look into Kodi to see if it works for you.
I host all my media files on the NAS, all my clients are Kodi. LAN only.