I have no experience with Plesk, but am using ListMail Pro on two cPanel servers. And things are working well.
The particular servers are dedicated to a newsletter with a large subscriber base, so we go all out for maximum performance. On a "normal" cPanel / Plesk server you would probably be sharing the server amongst many websites, so full-throttle would probably not be an option.
By themselves, Plesk and cPanel does not influence the performance of ListMail Pro. It really is about the mail server software (Exim in the case of cPanel) and how it is configured. I used suggestions on this forum to tweak Exim a bit for better performance. The configuration is bit different to (dare I say "incompatible" with) the way that cPanel configures it.