Plums have a more Jello-y interior than some other stone fruits like peaches and nectarines, so they will release more juice when roasted and the skins will often slip off from the flesh entirely. Either lean into that and let them get really saucy, or cut them into larger pieces and sear them cut-side down in a ripping-hot pan for less time (taking only a minute or two) to keep the fruit more intact.
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