Yes, since you installed the games using your Kenwood drive, that's where your computer now expects to find the CDs when you play the games. There's a "quick fix" you can try for each game, short of having to reinstall it.
For Privateer 2, you'll find a file called "dark.cfg" in the directory for P2 that was created on your hard drive when you installed the game. Don't know for sure (since I haven't done it), but you should be able to open and edit this file (using Notepad or WordPad), changing the CD-ROM drive letter presently listed (which should correspond to your Kenwood drive) to the drive letter for your PlexWriter. After saving the file, try launching the game again. If this doesn't work, uninstall P2 and reinstall it using the PlexWriter.
Don't know how X-Wing installs (i.e., if it, like P2, copies the basic execution and related files to your hard drive and so launches from the hard drive, or if it does little more than create a game icon or shortcut on your desktop and otherwise launches and runs from the CD), but if it's like P2, then same advice as before (though I can't tell you the name of the file or files you will have to find and edit on your hard drive).
If X-Wing launches from the CD, then you can probably find the nettlesome pointer to your Kenwood drive by right-clicking on the game icon or shortcut on your desktop (or in your "Start/Programs" list or wherever you have it) and choosing "Properties" in the menu that pops up. A dialog box will then open showing the path statements your computer uses to locate the game CD and files. One or more path statements should presently be pointing to your Kenwood drive. Change every reference to the Kenwood drive letter to the drive letter for your Plexwriter. Click on "Apply", then "OK". Try launching the game again (using the same icon or shortcut you just modified). If this doesn't work, uninstall X-Wing and reinstall it using the Plexwriter.
Hope the above helps.