Yes, you need to set up your own nameservers. You can use your Plesk server to do this for you. Note that Plesk will set up your domain's DNS when you configure your domain for hosting, but you'll need to double check to make sure that it fits your needs and also that the SOA is correct. Then you need to be sure that your registrar has the correct nameserver info so that the domain will resolve.
If you need more info than that, check the documentation and some DNS primers.