Hi !
While I agree it could have been a good feature, this is not permitted by the internal routing of the machine.
As far as I know the effects are at the very end of the signal chain, just before the master output (as hinted by their location on the synth panel)
It is the same as it you would plug a delay pedal after your guitar, the pedal has only one input and there is no way to decide which microphone goes into this input or not