This isn’t quite true; you can easily configure Caddy to use your Comodo cert on www.mydomain.com, and have it fetch a LetsEncrypt certificate (also domain validated) for any subdomain you like (although I’d honestly recommend just letting Caddy do all the certificate management - LetsEncrypt certificates are free!).
To quote myself from a while back now, though, with regards to getting Plex working - long story short, you’re not going to be able to use /plex. It needs /web (and more besides).