Resolution
Plesk uses system Mailman package. Recommended Mailman package version can be found in appropriate Plesk release notes.
You can install Mailman package manually before or after Plesk installation using OS specific packages manager, for example 'yum install mailman' or 'apt-get install mailman', etc... Also, Mailman support can be chosen by means of Plesk Auto-installer. After Mailman package is installed in the system, it should be configured. Open "Server->Set Up Mailman" page in Plesk CP and input requested information, then you should be able to create mailing list for domains.
If you see no "Mailman" or "Set Up Mailman" button on the Server page in Plesk CP, it means that Mailman is already configured and you do not need to do anything with it.
If it still does not work try to reconfigure Mailman manualy as desribed in article 1639.