No, that should work straight out of the box. Maybe you have some network configuration that stops that, like a firewall.

The quality was probably bad because you were routed through Plex Relay services which have a bandwidth limit. It is honestly quite a nice free service because it means it will work pretty much regardless how your network is setup but the quality will be bad. If you want to directly connect to your server you need a public IP so CGNAT won’t do you might also have to open some ports.