It honestly depends on the network policies you're dealing with. Some employers have strict security and won't allow workarounds like vpns or proxies, and they really don't want you connecting the network to other unsecured ones.

That said, I'd try a personal VPN (not necessarily a proxy one, just one that can connect you to your plex server on a shared network). If that doesn't work, I really doubt it's a good idea to connect to your plex server from their wifi anyway. If that's the case, I would just download the media I want before I get to work