Difference between Godaddy/cloud Plesk and downloaded Plesk

So, I've had a tiny bit of experience with cPanel and Plesk both, but I'm pretty n0013. If I have a Windows PC, (I do), do I HAVE to use Plesk?

Last year I briefly tinkered with a site with cPanel and that was from CHROME OS! Of course, the Cpanel was through the cloud, on Godaddy, but it makes me wonder how much operating system even matters for building a site at a basic level if the cloud gets everything done anyway. I heard some figures for the price of Plesk and it sounded more expensive than what I paid for it(At least godaddy SAID I had Plesk)-like 40-70-month. I just canceled it to rearrange domain names that I'm working on, but I'm pretty sure a whole year of Plesk was in that price range on Godaddy but I never got a download, just a login password to a cloud based thing.

Are you supposed to download Plesk in arrangements like that, or not? Its ease of use was substantially worse(at least less intuitive) than my cPanel experience, and cPanel had been cloud based also.

I hope this question isn't rambling on too much. There are a lot of gaps in my understanding on this whole thing(even though I've successfully put up websites before-just didn't really understand the interface I was working with that well).

And how does that relate to FTPs? Do I have to download that separately? I was able to write my own html/css and put up a site in the past without even knowing what FTP was so I'm not even sure if it's something I should be manually controlling.

Thanks in advance