The "Effect" option and the entire LFS2 footswitch is a latching footswitch with LED lights. This allows you to turn on the effects and make channels changes. The LED will correspond with the effect being on or off. If you're switching channels, this overrides the effect option in the saved preset.
Even though the saved preset might have the effect turned to the "OFF" position, this will still appear as ON with the footswitch. This is why you may not getting certain settings as "Saved" when you have the LFS2 pedal connected. Since the pedal is overriding the saved preset default settings.
This is normal behavior for the LFS2 latching footswitch. The footswitch options correspond with the LED lights.
You can save it correctly with the LFS2 disconnected, or with the Catalyst Edit software. If you see the lettering at the top of Catalyst edit as RED, this means the preset is changed. TAN lettering would mean its saved and hasn't been changed.