Nas software is more friendly and just works. Windows doesn’t have a great raid option, but nas do. Windows desktop also has alot of artificial limits and is less stable and will reboot for patches at inconvenient times.
I simplest terms, it’s like use a flat screw driver on a Philips head. It’ll technically work, but there are just plain better options that will work better and easier.
Don’t worry about it, no one wants to hack your plex server xD just don’t expose things directly to the internet and you’ll be fine.