We do not have an installer for Plex, as we do with the LMS. So you would have to install it manually. Also, it might be a performance bottle neck for the Pi to run both servers at the same time.
Once the HDD is mounted, you can use it with any software on Max2Play, so you don’t need to do this twice. However, installing the plex server itself would require several commands and tweaks from the SSH. There are various guides for this online, our current image is based on Stretch (or buster with the new beta). But again, it probably makes most sense to have a second Pi running just Plex server with a dedicated image.