The Edit-Audio Effects-Directx Audio Plugin sure didn't work for me. When I tried that with the Guitar Rig I get some weird behaviour with the different presets of Guitar Rig cycling through the window and then it stops responding. The subsequent error message says "dxplug^.exe not responding". Windows then checks about the problem and I get a second error message saying "error Problem running c:\pt\dxplugin.exe".
I tried applying an effect using one of the built in pg effects and it worked fine.

The good news I guess is that using the edit dx button and inserting Guitar Rig there worked ok. I can hear the effect applied and can adjust the sound that way. As you say, this can be processor intensive if I do a lot of tracks so i tried getting around that using the merge command from the tracks menu and including the effects in the merge. Seems that will work.

Its a convoluted way of doing things but at least there is a path.
Onward and upward