Ack, I didn't look at the system settings, just user settings for your account. There is indeed a option for "Allow setting up FTP backup storage on the local server" in the system-wide options. Since I can't do this per-user and it was allowed on cPanel, it's been enabled on Plesk as well.
Please make sure your backups do not include previous backups.
If your account runs out of space you'll end up in a weird half suspended state where an admin will need to delete your backups for you to get unsuspended...