I have a track with about 25 audio clips. I want to apply an effect to all of them.  I add the effect from ProChannel to the track. I use Process / Apply Audio Effect.  Now in the audio folder there is a new WAV file the duration of all the clips combined, and the original WAV files for the clips are unprocessed.
 
I can Export Audio / Clips and get the individual processed clips that way, but I'm wondering why the audio has been combined into a single file?
I thought it used to be possible to process the audio "in place", but maybe I'm mistaken?
 
 
 

Lasso/Select all 25 clips and choose "Bounce to clips".
Then drag the FX from the FX bin to the track and apply effects.
You are possibly applying FX to only 1 clip where if you want the whole track processed you need to treat it as a whole.
 
EDITED: Sorry I think I misunderstood your question.

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I can Export Audio / Clips and get the individual processed clips that way, but I'm wondering why the audio has been combined into a single file?

 
I just tried what you described; each clip was processed individually, and not combined into a single clip. I verified this in the Project Audio folder.
 
Try trimming each clip. Maybe the issue is that they're all pointing to a longer file, and all the clips are derived from that file. If trimming doesn't work, can you list the steps you're doing that make this happen?