Some users reported connection issues if they are in the same wifi/network as their Plex server. This might be a configuration issue with the local network. You can find further information regarding that in the Plex Support section.
Most of the time this is due to DNS Rebind Protection, which is enabled for some routers by default. Please check the help article linked above and try to add plex.direct to the list of DNS Rebind Protection exceptions. Please refer to the manual of your specific router model to find out how to do that.