By default, your VPS with Plesk comes with no firewall setup. 

Plesk has a built-in firewall utility that makes it easy to turn on your firewall and configure the rules. To get to this utility, go to the Tools & Settings on the left-hand side and then under Security click the Firewall button (if you do not see this button, make sure the Firewall extension is installed). It will bring you to this firewall utility page:

You can Enable the Firewall rules at the top as well as configure the rules. You will only be able to modify or create firewall rules after the firewall is enabled.

By clicking Modify Plesk Firewall Rules you are brought to a different page that helps you add, remove, and create custom rules. Here is what this page looks like:

Don't forget to press the Apply Changes button at the top after you are done configuring your firewall rules.

For a more in depth firewall tool, take a look at Firewalld (www.firewalld.org) which comes pre-installed but disabled.