The main thing to check is that the DI box actually does habe an input impedance of 1MOhm or above. Also, connecting the guitar to the DI and the DI's 'direct output' to effects/amp often results in the guitar seeing the impedance of the DI box and the fx/amp as parallel resistances. This happens when the direct out on the DI is simply another jack socket wired directly to the input.
The result would be the guitar seeing e.g. 1MOhm at the DI plus a parallel 1MOhm from the amp. Which Ohm's Law tells us means the guitar is now seeing a 500Ohm load, which is a bit lower than ideal.
One way round this is to put a buffer with a 1MOhm+ input impedance between guitar and DI so the buffer is the first thing the guitar sees. Every Boss pedal (and quite a number of others) contains such a buffer, which is permanently active whether the pedal is on or off so long as it is receiving power. Most guitarists have at least one Boss pedal kicking around the place...
The whole DI before effects thing does falls flat on its face if you use certain pedals, such as Fuzz Faces and similar transistor fuzzes or some wahs because the guitar and pedal form a single circuit and if the pedal doesn't see the right range of impedances 'upstream' at the guitar then the pedal circuit doesn't operate as designed. Putting such pedals after a buffer, or even another effect that isn't true bypass or is switched on, also means they don't work properly. Typically fuzzes become much brighter, more distorted and refuse to clean up properly as the guitar volume and tone controls are adjusted.
The whole thing is a trial and error process. If you don't use the kind of pedals that are affected, don't worrry about it. Just run a buffer between guitar and DI.