Is something like this difficult to set up?

I grabbed a Linux Mint install, and followed this guide to install Plex on it

It is a "desktop" install, really I know you don't NEED a GUI yadayada, but it was very easy and got my foot in the door of Linux. It's worked well for me, faster than the older Windows install

Nah, just run the installer, go to the config page and point it at your media folders. You get a Netflix type UI in the browser.

There's even an Android TV app to access it remotely.

Depends on your current skill level and what equipment you have.

If you run Linux already it is dead easy, especially if you have a server.

I know you can host Plex on a Windows laptop so I'm sure you can probably host jellyfin as well.

It also depends on how you want to set it up. At its most basic, it's pretty easy. Download Plex or jellyfin then point it to the files you want to host and you are flying.