A userscript that adds a download button to the Plex desktop interface on https://app.plex.tv/desktop/
Works on episodes, movies, movie collections, whole seasons, and entire shows.
See screenshots for examples of it in use.
Install using a userscript manager of your choice, for example Greasemonkey for Firefox or Tampermonkey for Chrome.
Note that the owner of the Plex server must allow downloading for this script to function. You can check this by visiting https://app.plex.tv/desktop/#!/settings/manage-library-access , clicking on the owner of the server you have access to, and checking for "Downloads Allowed" under your permissions on that server.
On Greasyfork: https://greasyfork.org/en/scripts/487119-plex-downloader