Plex isn't hosting the illegal content and that which they are hosting they properly license. Plex in particular is pushimg harder and harder to host content for you, instead of you hosting your own.
Officially, the 'personal media server' side of things is for sharing home videos/pictures, not commercialized content. (this applies to Plex, Emby, and Jellyfin)
It's the users/server operators responsibly to have the correct licensing for whatever they are hosting to others.