There is some information on the Plex support pages. Just be careful when building the directory name. It's kinda picky

Yup, a pre-roll is a short clip of your choice that you can play before movies/shows. It doesn't use internet sources and you just point it to a video on your server.

Agreed, I've never really explored it. I have a domain with a theme that I could carry into a custom branded pre roll. I'm assuming this would play for a few seconds before every file. But I'm not sure that I would want to subject my family to those extra seconds hah