When running Plex Media Player on an embedded platform such as Raspberry Pi 2, the app doesn't currently support configuring the wireless (WiFi) connection.
If you wish to configure your wireless interface, you can do so using the OpenELEC
connman connection manager.
Related Page: OpenELEC (4.0.1) WIFI connection details using `connman`
Related Page: Plex Media Player > Getting Started
Related Page: What are the supported platforms for Plex Media Player?