My setup is straight forward, so hopefully the solution is as well; Shield to HDMI to TV, set to use TV's speakers. Just setup the Shield and all settings are at default. I keep the TV's volume at some set level, let's say 70, and adjust the Shield's system volume via the Shield remote as needed. This seems to work fine for all apps (Netflix, Youtube, and Amazon) tested so far, but not Plex at all. Any file I try to play in Plex will produce the expected sound but the Shield remote's volume slide is useless and just produces an error message as noted in the headline.
What the hell is going on here and what setting (in Plex or in the Shield's system) will correct this?
I should also add, this is not an issue on my Mi Box, where the same files in Plex have been tested and play audio without issue.
You should set up your remote to control your TVs volume instead of the shield's. That'd be my recommendation. Your Plex app is probably set up to do audio pass through.