I also don't own one of these, but my recommendation would be to see if the block diagram helps - that old chestnut

and/or just do a simple experiment to see what happens, especially if you're in hurry. It eliminates any guesswork (or AI speculation!), and you can have 100% faith in the results as
you did the test.
The diagram does show a dotted connection from the FX OUT socket to an internal switch which toggles the FX BUS SEND to either the FX INTERNAL SEND signal or the socket, so that confirms what you've heard.
The MAIN OUT SEND signal path has nothing similar so my guess is that the main fx would still be available.
For simple testing of these machines, use an input or pre-recorded track as a source signal, and headphones for checking the result. On my DP-32, I plug a spare cable into an input and dab my finger on/off the exposed plug, so no other gear is required. To check the FX scenario, just plug another spare cable into the FX out (it doesn't have to go anywhere else) and see how this affects the different FX options.
Of course, by the time you read this, someone else will have replied, but there's no harm in confirming

Good luck.