I wish I could tell you what your problem is, but I doubt very much it has anything to do with changing the destination for audio files.
As mettelus says, by default, listening to effects is usually just for monitoring purposes, allowing you to hear them as you record but not actually recording them. The reason that's the default is that most of the time it's a much better way of doing it - applying the effect
after recording leaves you with many more mix options. In the end, the sound you get on your finished recording can be
exactly the same as what you monitored, or it can be quite different if you change your mind. In other words, there is no practical reason or need for recording computer-based FX in real time.
Sorry, I know that's not an answer to your question. More like a "don't worry about it" encouragement.