I, personally, don't like to use FX during tracking, but I understand that there are those who think they can't get the sound they need without hearing it with the FX in place.
I tried copying what was in the help files on this subject, but it doesn't work too well. you don't get the pictures with the paste and they're important.
go to your help file and search for "INPUT MONITORING" there are two entries that you'll find. read both of them - one of them doesn't state anything specific about FX during tracking, the other does.