For why you are having trouble wit PLEX, see this:
As for not being able to view all videos, it is because your NAS is acting as a DLNA media server and not all video files are DLNA compatible.
The My Cloud also can act as a network share, so when you view that way, all works better, and why when you go view it directly from a drive you can see it.
I’m a bit baffled that in 2016, the only option seems to be to use the NAS as a external hard drive.
ONLY because you do not fully understand what is going on here and how to fully use the My Cloud box. You are now a little better informed, but there is still lots more to know about using all this stuff.