Hi,
You can try running the following command to reconfigure website settings in IIS:
%plesk_bin%\websrvmng.exe --reconfigure-vhost --vhost-name=DOMAIN_NAME
I just did a quick test on my server:
1. Created new domain test.dom
2. Browsed it - got default page.
3. Renamed index.html in %plesk_vhosts%\test.dom\httpdocs
4. Browsed domain - got 'Directory Listing Denied' error
Are you checkig in same way. From where did you remove index.html?