Plex is absolutely not “designed to run on Windows”. Both systems work absolutely great and in any case, a Linux server is a lot more stable than a windows server. Plex is also very lightweight on resources (when not software transcoding), so it won’t affect your ability to run other stuff on the same machine. Only managing a single server is going to be a lot easier for you as well.
A piece of advice on matrix. Don’t run synapse on the same server, use either dendrite or conduit as synapse is a bit of a resource hog, while the other two are nicer to your cpu and should work well for small installations.
Wait what is the difference compared to the previous behavior?