"Panel SSL: Log in to your server as "admin", then go to "Tools & Settings" > "SSL/TLS certificates". Create the Let's Encrypt certificates for server and mail and make them the default certificates."
This means: To secure the Plesk login URL you need to create an SSL certificate. This can be done from "Tools & Settings" > "SSL/TLS certificates". Once you have created the certificate, select it as the default certificate for your mail server and Plesk. This will eliminate the security warning that you are seeing.
Regarding FTP I understand that you want to access your server through a different domain name than your host name. If you have created your SSL certificate for the server's host name this will also secure FTP when you connect to the server through that host name. As there is only one FTP server on the system, it is not feasible to equip that one with a different or additional SSL certificate that secures a different domain name. The default solution is to use the host name, because that already has an SSL certificate (after you have created it as described above.)