On Linux mailboxes are stored in directory specified in value to parameter
PLESK_MAILNAMES_D in configuration file
/etc/psa/psa.conf. By default the path is
/var/qmail/mailnames (for both Qmail and Postfix). To change location of mailboxes, follow instructions provided in KB article #6312.
Plesk for Windows supports wide variety of mail servers and each stores path in their internal configuration. To find out path to mailboxes, run Plesk Reconfigurator > Change Plesk Mail Data Location. Current path to mailboxes will be shown in dialog window: