Yes. Keep a current copy outside the hosting account, especially before upgrades, migrations, and major site changes.
Plesk can create backups, but a backup stored only on the same hosting account can be affected by account failure, cancellation, or a full disk. Download important backups or send them to remote storage that you control.
Include the website files and databases. Include mail only if you need server-side messages preserved. Test a restore process before you depend on a backup for recovery.