This is a common issue when you first install the synology.
To fix it you simply need to allow the proper permissions on the Share.
Log into your synology
Click Control Panel
Edit your Shares
And set the permissions as shown here:
Plex needs Read/Write access
Save it
Now you can go back to your Synology Plex App
Add the library
You will most likely find your files in Volume 1 \ Plex