Even if the port is open, Plex can sometimes use the relay server. You might want to explicitly disable that.
Also, you can check if the video is being transcoded on-the-fly by going to quality settings and seeing if it's showing up as transcoded or directplay. Sometimes you might have to force the directplay on your client device (Playback might fail if your device doesn't support the specific format).
Obligatory Astroturfing warning.