The following warning appears in AWS during the creation of an instance with Plesk:
CONFIG_TEXT: Improve your instances' security. Your security group, security_group_name, is open to the world.
These warnings can be safely ignored. They tell that connection to the instance is allowed from any IP address (0.0.0.0/0).
To set a group of IP addresses, that are allowed to connect to the instance:
Get back to step 6 in the AWS dashboard;
Insert IP address (or several IP addresses) to the security group rules.
Note: all ports that are already set in default security group for Plesk AMIs (Amazon Machine Images) should be opened for Plesk proper functionality.