Nope... got told, and discovered, that APF and BFD can not work with the firewall interface in Plesk. It uses IPTABLES, but there is no way to import current rules, or communicate with the firewall outside of the Plesk panel.
I'm hoping they will fix this VERY soon, as I refuse to sacrifice my servers security just to have a new interface for iptables, when I can get better off Webmin (an iptables interface that will work alongside APF and BFD, instead of against it).
Basically, it works with iptables, loading the rules when needed, but runs out of MySQL (that is where the rules are stored). Basically, make your choice.