On the artist page, plex can group regular albums of the artist and in seperate lists, live albums, compilations, EPs and Singles and so forth. You can enable that in settings, under library.
Admittedly, that looks nice on the artist page but...
... is that all? I haven't found a way in plex itself to use that grouping for filtering any results and the searchbar doesn't look at the album type either. So you would have to add a mood tag like "live" to the album to use that for filtering. No: Filtering is possible in the album view under format (Album, Single, EP) or type (Compilation, Live, Remix etc.)
Plexamp also can use either the „album formats“ album, single or eps or the album types live, compilation, soundtracks or mixes for filtering and creating playlists. Hence you can use those playlists for further refinement.
So if you are interested in album formats or types, here is how it works:
When scanning the file, Plex uses the MusicBrainz tag "Release Type" for sorting. If you want to do that manually, you can use mp3tag and add a field "RELEASETYPE" to the file's metadata. For live recordings, enter the value "album;live", for compilations "album;compilation". Make sure that the field and the values are EXACTLY spelled like this, otherwise plex would not recognize the tag.
Plex takes some time for processing, the album poster even vanishes for some time from the artist page.
NEW: In a newer post, I linked a python script to automate the procedure.