It does indeed route from your Plex server, out to the Internet, and back into your network. The reason being is that XBox Live is a closed environment, so therefore there's no way for Plex to tell XBox Live to just start allowing random local traffic to enter your XBox and into an app/game. There are many reasons why this limitation is in place, which you can find by hunting around the XBox One developer forums.
If the traffic and bandwidth are an issue for you, I would simply turn DLNA on in Plex Media Server, then just navigate to your content via the Media Player app on XBox One...This does not require a Plex Pass and the Media Player app is allowed to scan the local network and not traverse the network...I know that probably sounds really dumb, but there are lots of pros/cons when deciding how to handle situations like this in an environment like XBox Live, and Microsoft chose to take this route.
One thing to note going forward, Microsoft's new update coming to XBox One will support Miracast, which means if you have a Windows 10 machine (or hopefully any device that support Miracast), you should be able to remotely stream from your PC/Device to your XBox as if it were another monitor. At that point, you could simply run Plex from that endpoint and stream it over to the XBox vs. using the XBox Plex app.
Hope that helps!