Hi,
well prior to activating the rules in Plesk, it gives you the chance to review the rules that will be activated.
Copy this Script output and insert it into a bash Script on your system and execute it within a screen, saving it's output to a separate file.
After rebooting the VPS and gaining access again, check the log that you created, for which rules fail.
Then you will have to contact GoDaddy again for further assistance.
Another alternative is to connect to PVA/Power Panel if GoDaddy provides access to it and use the "Console" to login.
The console does not require network connectivity to work. So you can enable the rules and check via console which are failing.
However no matter what your results will be. You will not be able to resolve this issue without GoDaddy.
Only if they activate the required iptables-Modules the firewall will eventually work.
Regards,
Kristian