PROC PLM doesn't have accesss to the original data, which is why it behaves differently. PLM only has access to the model.
In fact, the documentation for the OBS option in the EFFECTPLOT statement states "OBS<(obs-options)>
displays observations on the effect plots. An input data set is required; hence the OBS option is not available with PROC PLM."
Just use an OUTPUT statement to create a SAS data set that contains the predicted values. There are several predictions and scales (BLUP, ILINK,...) to choose from. Then you can sort by the covariate and use PROC SGPLOT to overlay the SERIES plot of the predictors on a SCATTER plot of the observations.