We had a discussion recently about using SFTP under Plesk 10. It’s possible, however the feature is not called SFTP explicitly so I thought it’s best to describe how it works here.
Note that SFTP is only possible for the main domain owner, not for additional FTP Users that you may create under Web Users… sorry! Here’s the Parallels Knowledgebase article which explains why.
That said, here’s how you activate SFTP for your account: