Is it possible to secure the mail server mail.example.com with Let’s Encrypt SSL certificate when the A record for example.com is pointing to another server?

As an alternative, you may purchase an SSL certificate from another SSL vendor (not Let's Encrypt) and install it for your domain by using it while following the steps in this article:

How to install an SSL certificate from 3rd party certificate authorities for a domain in Plesk?

Afterwards, you should set up the SSL to be using for Mail purposes by using the steps on this page of the Plesk Obsidian documentation:
Protecting Webmail and Mail with SSL/TLS Certificates | Plesk Obsidian documentation

Warning: Settings certificate for mail from different domain is temporary solution. Each Let's Encrypt certificate renewal will delete old certificate and new certificate will be issued. Due to that old certificate on example.com will be unchecked. So each Let's Encrypt certificate renewal requires to assign certificate on domain manually or with script again.

1. Create a separate web hosting enabled subdomain mail.example.com
2. Go to Domains > mail.example.com > Dashboard > SSL/TLS Certificates
3. Issue a new and separate Let's Encrypt SSL certificate for this subdomain
4. Go to Domains > example.com > Mail > Mail Settings
5. Set the SSL/TLS certificate for mail to Let's Encrypt mail.example.com
6. Press Apply

Note: In case example.com has no web hosting, it's necessary to create a new separate Subscription for the subdomain mail.example.com.