What My Cloud model do you have? The single bay My Cloud models (both 1st gen v4.x and 2nd gen v2.x firmware) DO NOT officially support Plex. Only the multi bay My Cloud models (Mirror and above) support Plex.
Unofficially, and absolutely not supported by WD, one can see the following discussion on adding Plex to the single bay 2nd gen My Cloud model.
https://community.wd.com/t/wd-mycloud-gen2-enable-apps-install-tab-apps/177885/
See the following WD Support Knowledgebase article detailing the feature differences between the various My Cloud models including which models officially support third party apps like Plex:
