No this is not mandatory.
You can also setup you plesk to specify the same "documentroot" for all the domain and sub-domain.
See also the user manual chapter 3.2.6 and the FAQ
/faq#sec-76
that give a sample on how to configure plesk.
This is example provided by one of my customers.
At the origin, I have created the functionality of the deployment directory and the usage of Symbolic Link to try solving a problem for some customers that have difficulties to configure their hosting server to specify the same directory than the master.
To help you test the plesk configuration, I suggest that you use the "Hello World" procedure described in the tutorial step 7