As an anecdote, I previously tried to run Plex without any connections back to the mothership, and they were doing some super crazy stuff (server _and_ client side) to ensure that it wouldn't work if those servers/IPs were blocked.

If you really want to avoid external parties, you should probably be running Kodi, compiled yourself, and firewalled off from internet access for good measure. (This assumes you _are_ worried about tracking, and so only use offline media, and not Netflix etc)