You can, however, turn off automatic switching in two ways:

- at Prefs > General > Advanced, there is a setting to make the selection "stick" until the user explicitly deactivates a Behaviour via the menu. It's off by default.

- via Remote Buddy's AppleScript interface: it, too, offers the option to make a Behaviour selection "stick" until explicit deactivation by the user. The same command also allows the selection of particular Behaviours. You can find examples for its use in Remote Buddy's Applescript dictionary. A script listing all Behaviours' unique identifiers (you'll need these if you want to activate particular Behaviours from a script) is available in the FAQ.

Finally, please also check that Plex has actually quit. I remember at least two broken Plex releases where Plex would close its window, but not quit. Since it didn't quit, it kept the active application focus and Behaviours - technically fully correctly - wouldn't switch.

Best regards, 
Felix Schwarz