With cPanel, you need to look for this under email accounts for this
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I confirm this works with cPanel with e-mail forwarding option and doesn't go to the spam folder 
Someday when I get access to a Linux Plesk I'll be sure to test it as well...
@Patrick your Plesk is Windows?
No our Plesk is in Linux, very pleased with it.
Yes, Plesk is beautiful 
It's hard to come by a Plesk shared hosting in EU unfortunately
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