What plant do you actually have (species, cultivar, etc)? Since I am not aware of any commercially available plumbago varieties (assuming strict biological definition usage), although there may be some, I'm thinking you are referring to a specific cultivar. If you have a shrub plumbago cultivar, it probably would not come true from seed. The best way to propagate it, so that you produce the same plant type you started with, is through cuttings.

You can divide them or grow from cuttings if you want the same thing. Seeds are the way to guarantee you DON'T get the same thing. They're probably hybrids, and seeds don't give you the same thing that you have if they are. But they're very easy to grow from cuttings. I've never heard of anyone growing them from seed.

To repeat what Brandon said, which 'Plumbago' are we talking about? Plumbago auriculata, the tender vine-like shrub or possibly one of the Ceratostigmas, commonly called Plumbago? Either way cuttings, or if it's Ceratostigma, division, will give you new plants quicker than seed. As far as I am aware neither Plumbago, nor the Ceratostigmas, of which there are several species, is a hybrid so seeds should come true. But that's a lot of faff compared with vegetative propagation.