Haha... who reads the manual?? ;)
You might be right on the basic rule. But I got a VPS with Plesk pre-installed. This is the 3 server with Plesk and I did not have to whitelist the external ip address before. It could be logical to NOT block it's own IP addresses or whitelist them...
Suddenly, I had the same problem with getting a 502 bad gateway error from nginx on every website my VPS with Plesk 12.5 hosts.
I first stopped nginx in the services administration. All websites worked again.
After a lot of searching I found that Fail2Ban had listed the IP address of the VPS...