Plesk has a (somewhat annoying) default firewall configuration that you can adjust from within the Plesk interface. However, if you want to add additional rules, you may find that you can't add the rules you want from the interface. If you add them from the command line, Plesk will overwrite them when it feels the urge, even if you run service iptables save as you're supposed to.
You can override this by making /etc/sysconfig/iptables immutable with chattr. Just run the following:
# chattr +i /etc/sysconfig/iptables
Now, Plesk can't adjust your iptables rules without your intervention. Well, that is until SWSoft figures out how to run chattr when Plesk can't edit certain configuration files. 
I don't think this approach will work if you also want to use the Plesk interface?
The issue I have is that some clients use the Plesk firewall interface but I still need to add custom rules.
Thus far, I've not found a good way to handle this. I peaked into the plesk database and I've little clue how they right their rules.
The only method I've come up with was to create a custom chain and have a script to assure it is in as rule #1.
The Plesk Firewall rules make sense if you take apart the blob the write to their MySQL DB. The problem is, there are more than a few steps to it.
First, the rules you make in Plesk are written as blobs to the MySQL DB.
When you hit "Apply" in Plesk it writes out the rules into a bash script in the Plesk folder.
When the Plesk firewall service is restarted it applies the rules from this script to the live firewall (this is the bit that is overwriting the rules you're trying to manually add to the firewall yourself).
I've managed to write MySQL queries to deal with part A, but there appears to be no command line way of doing the second stage (and modifying the bash script it creates is a little dangerous as there's no set structure to it or markers in place, your rules are likely to end up in the wrong place unless you enter them by hand).
In short - pain in the ass. As is always the way with Plesk.