Bristol_Jonesey
From memory (not at my DAW), pressing E (or clicking the Fx button) will bypass the entire Pro Channel but NOT the individual modules contained inside. Are you sure this is not what you're seeing?
I'm not in front of my DAW, but what I recall in some projects, it worked fine - clicking "FX" in the mix bar disabled all the prochannels by disabling the button at the top of each prochannel module on every track and bus. To your point, I didn't open up the prochannel to examine each individual effect, but I suspect they correctly disabled, as my CPU usage and latency went way down when the master prochannel button was disabled on each track.
However in other projects, when clicking the FX button in the mix bar, it only disabled the master Prochannel on/ off on busses, but not on individual tracks.
I haven't tried the E keyboard shortcut, but will try that over the weekend to see if there's a difference in behavior.