Thanks for the reply, it works now. Connecting directly to the plex server in the local network doesn't seem to work. What worked is connecting over plex.tv as shown here... I thought that it doesn't matter.
Anyway, what I was hoping for is that after connecting it would show up as a device / client in the Plex app so I could control it from there (and from amazon echo), but it doesn't show up Do you think that would be possible? If I connect manually from a browser it shows up as "Plex Web (Chrome)".
All that said, I think I remember seeing that Plex HAS an Alexa app at this point?