I'm using Plesk 11.0.9 - centOS and I'd like to change the vhost.conf file for a subdomain, but the path I'm using seem to be wrong :
Is it the right path ?
It should be the correct path. The content you put there will be included into autogenerated config file of Plesk. If you need to change config rather than to add/override anything there, you'll have to change templates used for config generation. More information can be found in Virtual Host Configuration chapter of Plesk docs
You should use command like:
/usr/local/psa/admin/sbin/httpdmng --reconfigure-domain sub.domain.lu
to apply your custom web server Apache configuration file changes. On previous versions of Plesk the same job has been done by command: