Plesk comes with a Pre-Installed Web application Firewall (ModSecurity) but it is not turned on by default. ModSecurity will help protect you from malicious attacks on your server and websites.
To turn on ModSecurity, go to the "Tools & Settings" tab, and under "Security" click the "Web Application Firewall (ModSecurity)" Button. This will bring you to the ModSecurity page which looks like this:
You can configure ModSecurity to suit your needs. For more information about ModSecurity please check out their website here: https://modsecurity.org/