UPDATE: 

Application that will auto update plex IP's and allow for easy bypass of the VPN connection

https://xflak40.wordpress.com/apps/#VPN-Bypass-for-Plex-Media-Server

Problem: 

Unable to access Plex with VPN connected.

Solution:

In order to access Plex when using the VPN you will need to route some plex domains outside of the VPN connection

plex.tv

tvdb2.plex.tv

pubsub.plex.bz

proxy.plex.bz

proxy02.pop.ord.plex.bz

cpms.spop10.ams.plex.bz

meta-db-worker02.pop.ric.plex.bz

meta.plex.bz

tvthemes.plexapp.com.cdn.cloudflare.net

tvthemes.plexapp.com

106c06cd218b007db1e8a1331f68446599e96a4b46a050f5.ams.plex.services

meta.plex.tv

cpms35.spop10.ams.plex.bz

proxy.plex.tv

metrics.plex.tv

pubsub.plex.tv

status.plex.tv

www.plex.tv

node.plexapp.com

nine.plugins.plexapp.com

staging.plex.tv

app.plex.tv

o1.email.plex.tv

o2.sg0.plex.tv dashboard.plex.tv

VPNSecure VPN Application

Click the Menu at the top left, select Settings.

Select "Advanced Settings"

Select "Routing"

Add the domains one by one listed above.

Connect to the VPN server.