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.
Catalyst Global Settings:
In the newer firmware updates 2.02 or above, there are some additional global settings that have been added to the menu. This is depicted with a "Gear Wheel" icon in the top right of the Catalyst Edit software.
The LFS2 footswitch is a Latching switch, since its stays ON, or stays OFF depending on what it's set to. The LEDs corresponds with those ON/OFF settings.
If you're using a Momentary Footswitch with the Catalyst, you can adjust the settings menu to "Footswitch Momentary" - this will change the behavior of the way the footswitch behaves when its pressed. This is especially helpful if it want to use the TAP tempo feature on your switch, or turn on the Tuner by pressing and holding the FS button.