Not fully correct. Yes SMB protocol is used by Windows, but it is a protocol that's working on Windows, Linux, MacOS (and possibly others). NFS is a different protocol, which was mainly used on Linux as a sharing system, I don't know the exact details on why what is "better", or the history, but it simply put is: a different piece of software and protocol.
For compatibility SMB is used, since it's generally more adopted and almost every system is using it (Think about games. Most games work on Windows, not all of them work on Linux or MacOS, but some of them also only work on Linux or MacOS and not on Windows)
Plex can be currently installed through the HexOS platform, *other* software cannot, and you need to use the TrueNAS system. You repeated Plex here, so I think you wanted to mention a different piece of software?
The interpretation is partly correct. You can install it on the system, however you need to use the TrueNAS interface for this. HexOS will be able to start & stop the software from the interface. So technically you can install it on HexOS, just not "through HexOS".
All this said, if you want to use a bit more advanced configuration, you will currently need to use TrueNAS for the settings, but if you just want one system with everything, you can just do this.