Internal FX are not inserted per channel. FX are operated on a Bus. You have to be recording the FX Bus (via Aux Input routing) or Main LR bus to hear the FX in recording.
By default, recording your inputs will not have FX on the channels, except for any Fat Channel processing you choose to add via Post DSP option.
Pro Tools non-HD systems have a 32 input limit, to which you wouldn't have access to the Aux Inputs to record the FX bus directly.