It says that MailEnable Standard that comes with Plesk Windows will not work and you need an IMAP capable e-mail server.
What I was after however, is where to find the "sent items" folder in Plesk Linux. I cannot find it, and I presume it's also something to do with IMAP.
Windows Mailenable standard does include IMAP support
There is some other reason HORDE is not creating the sent mail folder by default (under the mail enable post office folder for the email account).
Atmail does work fine and sent mail folders are created when atmail is enabled instead of horde.
EDIT: I found the solution, on the login page of HORDE webmail the first option SERVER is either POP3 OR IMAP (you must manually choose IMAP and then login to see sent mail etc).