Interpolation is a curve fitting process that computes intermediate sample 'amplitude' data between the known sample points (filling in the gaps). This will reduce aliasing when samples are transposed.
Interpolation is only used when the pitch is transposed. Like most things, interpolation uses some CPU power, so FL Studio gives you the option to have different live and rendered interpolation settings.
So what about other plugins?
VST, Dx & FL Native plugins (synths & samplers) may or may not have their own internal interpolation settings (sometimes called over-sampling).
If you check Sytrus for example you will see it has its own Live (Draft) and Render settings. All good plugins interpolate/oversample or whatever, but some just don't show these settings to the user.
To download the project and plugin used in this tutorial visit this Looptralk thread.