Just trying to get access to my Plex Media Server running on a Synology DS415+ while not having internet.

Finding that I get a can't connect because of firewall etc error. You might see this:

A work around you can do from Windows / Mac / Linux.

Make sure you have SSH access running on the Synology and then use ssh to create a tunnel

ssh -l root -L 32400:localhost:32400 <ip of synology>

You can then use your browser to connect:

https://localhost:32400/web