Plex has an automatic proxy service hosted by their public servers. If you haven't or can't configure port forwarding correctly, plex will route the connection through their own servers.

The problem is, that also means Plex co has total control over your server and the data sent between it and clients if they so choose. Anything from quietly logging the data sent back and fourth, to controlling who can connect and what they can do while they are.

Jellyfin has to be correctly exposed to the internet via port forwarding or tools like tailscale/a vpn; but it's entirely your server under your control. You have ultimate control over how your server can be accessed, but that also means you're responsible for actually setting that up.