To amplify Igor's post:
Forgive me if I'm telling you stuff you already know. I just want to cover all the bases.
RedHat, and downstream distributions based on it (e.g. Centos), are designed to be used in situations where you want to keep up to date in terms of security and bugfixes, but where major changes in the way things work are out of the question. This is one reason why RedHat and Centos are so popular for hosting environments.
So, as a general rule, upgrading Centos 6.x to 6.y (using the yum upgrade command) is normally a safe thing to do with Plesk installed. This is generally called a "minor" version upgrade.
What you cannot do (currently!) is upgrade from 6.x to 7.x (or 5.x to 6.x) safely, and certainly not with Plesk installed. A big jump like this is termed a "major" version upgrade.
There are some Linux distributions, Ubuntu, for example, that do allow "major" version upgrades already, but to do this with Plesk installed is not something I'd recommend (but I've been told that this view is a bit old fashioned and that I'm being a bit of a dinosaur here). And there are plans in progress (or maybe it is already done) to allow Centos to do the same thing smoothly. As I understand it, a later version of Plesk may support this type of Centos upgrade at some point in the future.
There are, very occasionally, exceptions to the rule that minor version upgrades are safe. Quite recently there was a small issue with one particular Centos 6 package, and a long time ago there was a major issue with a Centos 5 minor update. Because of this, it is usually best to wait a little while after a minor version upgrade is released before updating your systems, to check for any reports of problems.
But don't let this stop you installing important security updates, and make sure you do upgrade before too long. The kind of problems I'm talking about are usually resolved quite swiftly and it is normally vital that you upgrade - you won't get all the security updates if you don't.
And to put your mind at ease and specifically answer your question, you should not encounter any issues with 6.5 to 6.6 - I've done it on numerous systems with no problems. But it is always sensible to make a backup just in case - at the very least do a Plesk backup and copy it somewhere safe. You can't have too many backups or take too many precautions.
In fact while I'm here, one precaution you should always take when running "yum upgrade" is to actually view and check what's about to be upgraded, especially if you have any third party repos enabled. Check for unexpected changes, such as php 5.4 getting installed if you are used to running 5.3 (which can happen if you have certain third party repos enabled), and similarly for MySQL, and back out if you aren't sure you are happy with what's being updated or upgraded.