From what I've read in the Plex documentation for Sonos, you need to allow remote access on your Plex media server for Sonos to see your music, even on the same network. With NAT loopback configured on your router, the request won't go out to the internet. But it still is really disappointing that Sonos can't see the Plex media server on the local network without exposing the server to remote access. I have Plex apps on other devices (such as TCL Roku TV) that work just fine on the local network with remote access disabled.
Has anyone successfully connected Sonos to their Plex server without enabling remote access? Seems like it should be achievable, and would be nice to access media on your local network without having to expose anything to the internet.