It’s actually the intended behavior. The Plex integration gets the status of players from the connected Plex server(s). Once the player stops reporting its status to the server, it is removed from the list of connected clients/sessions that the server knows about.
If a Plex client is controllable and on the same subnet as the Plex server, it is more likely to remain available and visible. If you run some UDP forwarders between subnets, you can remove that second requirement and improve Plex client visibility.