You can't just create an FTP user you have to go to Web Hosting Access. Here are the instructions .

https://kb.mediatemple.net/questions/16/Connecting+via+SSH+to+your+server#dv_managed

Then use those variables to set up your FTP. In GlobalScape Cute FTP under Site Manager Tab, Right Click > New > SFTP(SSH2) Site. Then plug in the parameters you set under the Web Hosting Access in your Plesk Control Panel.