You don’t need to; that was the point.
MKV (Matroska) and MP4 are simply “containers” for the video/audio/subtitle/etc.
The codec that the video and audio are encoded in is what matters.
Assuming all your files are encoded using AVC/h.264/MPEG-4* then whether they are in an MKV container or an MP4 container means Plex can convert them to a file format your player can use with almost zero CPU overhead.
Converting them prior to watching gains almost no speed advantage - as even Atom processors can do real-time conversion from an MKV with MPEG-4/h.264 to the mp4 container - and wastes hard drive space at best if you keep both copies, or reduces quality if you only keep the new copy.
*Note - NOT the same as MP4 which is a container, although almost all MP4 containers are either AVC, h.264 or MPEG-4. The MP4 container can use HEVC/h.265 encoded video as well h.263 but you’ll likely never see that