When you save a preset, it doesn't seem to make a difference whether an effect module, e.g. delay, is on or bypassed.
When you switch preset, it keeps the current on/bypassed state of all the effect modules.
It is possible to save a preset with no effect selected for a given module. If you do that then you can never turn that effect module on for that preset, except by editing it again.
I think the POD Express has been designed for either switching between presets live, or switching effects modules on and off live, but not both.