> Why should I have to bounce to a third party server to do that?

You don't. There's a setting for which networks are allowed access without authentication.

> All I wanted to do was self host a Plex server and access it from devices on my intranet using Infuse. Why should I have to bounce to a third party server to do that?

Cool, a real discussion. Plex has the weakness of requiring a first time online auth because they didnt implement a local ldap/oauth/sso pathway. After that point, Settings > Network > "List of IP addresses and networks that are allowed without auth", use a generous netmask. Entirely local after that point if desired.