No you do not. Roundcube and Horde have plugins to mark messages as junk where the message will be moved into the users Spam folder. Then Plesk has its own spam training script which is run daily to learn off messages in that folder. The task is called "ExecuteSpamtrain".
/usr/local/psa/bin/sw-engine-pleskrun /usr/local/psa/admin/plib/DailyMaintainance/script.php -l
The actual script that is run: