I don't think it's possible to Process>apply FX to MIDI data, because MIDI is just data. You can add FX events in the data stream, but they can not be applied in the way you mean. That data can be removed from the Event list at will, whereas applied FX in the audio are permanent. Maybe I don't know MIDI protocol enough, but my intuition says MIDI FX just don't work that way.
And anyway...IMO, destructive editing, like Process>Apply is never a good idea.
The recommendable way of adding FX to soft synth is putting them on the audio output track.