Windows is okay to start. There's nothing wrong with putting Plex on there, sharing some folders, and having a little server.
You can get more performance and more features for running Linux though. It's more reliable and you can get more help, because that's the tool people use. There is a learning curve though.
For a storage server, Linux works well as a NAS (Network Attached Storage). It supports SMB, which is the protocol Windows uses to share files. A Linux server will be able to share files with a Windows PC.