I can't find any instructions on what to do when you run out of plot cards. In the 1st edition when you revealed the last plot card you had to take the others back right away so I presume it's the same for the 2nd edition as well. Am I correct or am I missing something in the rules?

It's the last step of framework event 1.3, "Reveal plots":

Once these steps are complete, the players have completed the process of revealing plots. If a player has no cards in his or her plot deck, that player's used pile now returns to his or her plot deck. (The just revealed plot is not yet in the used pile and does not return at this time.)

Rules Reference, p26.

Alex