Hello - no, this is not possible. The X800M2 is generally a "non-smart player" without apps (in contrast to the newer X700 - apps can be installed here). The core competence of the X800M2 is the quiet playback of discs - no more and no less. It is one of the few that can play Dolby Vision and 3D discs.
Unfortunately, the Sony UBP-X800M2 does not support the installation of additional apps such as Plex. The device's functions are limited to the pre-installed apps and the playback of Blu-ray discs, 4K content and streaming services.
In terms of content playback: The UBP-X800M2 supports TrueHD sound formats and can play them back in high quality, provided the content supports this and the connected AV receiver is also compatible.