J Taylor - I think you have just described the problem - unfortunately that is what people are trying to get around and so is not a solution.
From what I can see, there is no way to handle domain alias email in separate mailboxes from the primary domain, at least not through the Plesk admin screens.
The only way around this, I believe, is to use an external mail server to handle it all. We usually use use Google Apps to do this, and use the domain alias DNS settings in Plesk to point at the Google MX servers (usually four of them). There are two ways to handle this:
1. Set up the external mail server in the primary domain, then synchonise the DNS for all its domain aliases to the primary DNS. This is easiest to set up. Each synchronised alias domain will then need the external mail server to be able to handle that domain.
2. Don't synchronise the DNS entries between the master and alias domains, and then each alias domain can be pointed at different mail servers depending on individual needs.
You can, of course, mix the two options with say, Google Apps as the default mail server for all domain aliases, and some pointing at other services by disabling the DNS sync.
I hope that helps!
-- Jason