SJS,
You appear to be right, I am not able to turn the FX on/off using the buttons in the multi channel window (VSTi in Cubase 5).I gave my first response while I was away from my gear - I will not do that again! I usually do not use the onboard FX and have not always found multi mode as predictable as I would like (see my other posts). So, at this point I would agree that it is a bug, unless anyone else can enlighten on this.....
Also, I have checked this with the 10 voice version (VSTi in Cantabile). The additional channels always bypass the FX.