Unable to add a CNAME record in Plesk 11.0.9 with an underscore in it.
The functionality which you expect from the Plesk - ability to use underscore "_" in CNAME records - can be considered as a feature request and it is already registered as one with id #PPPM-434. It will be implemented in future Plesk versions.
You can vote for this feature on Plesk User Voice portal.
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