I’d be surprised if the use of .mpg doesn’t confuse some software. There are fairly strict conventions around the use of file extensions for media files, as .mpg implies a very different file structure from the MPEG-4 files you’re producing.
Don’t get me wrong, though; it’s a good workaround, and it points to a feature that users clearly want (non-realtime transcoding). I just personally prefer the solutionn of renaming and dropping the transcoded file into Plex for direct streaming.