I have a headless Windows Server 2008 R2 box running at home, and I've just installed Plex on it to stream my media library. The software works brilliantly, but doesn't run as a service.
The simplest solution seems to be to leave a user logged into the server, so Plex can run.
If anyone breaks into my house then obviously they could connect a mouse, keyboard and monitor, but I think I'll have bigger issues in that case than worrying about my media library!
Are there any other security considerations?