I"m not on X3, but I've never had that particular problem. It seems the effect isn't being allowed to finish out, which doesn't make sense to me. In my old dinosaur version of 7PE, you could "play tails", but that typically was when you stopped the song and the tails of effects would still play out.
There seems to be something else happening that is preventing that in your scenario, as you ought to be able to have an automation envelope, to control your delay send, that doesn't cut off the effect, when it is back to zero again... MIDI or audio....either or...
Having two instances of a VSTi, doesn't seem like the solution, as like you said, it eats up available CPU.