As a Cakewalk user from Pro audio 8 up to Sonar 8 I know what the issue is. It's that "ALL" slider in RB & PTPA that's confusing the issue. I'm like you. Full up and forget it exists. In the Cakewalk products you can set up the chain like this:
Channels----->subgroups-------master stereo out. Each of these sections can have effects. It's very intuitive. We can do the same thing in RB & PT it's just a little trickier. In audio prefs just choose 1 audio out. This will show as A1. In Audio prefs also check" use unused outs as sub groups. Now in your Master section you'll see the first one is A1 and the rest are G2-G16. Now assign your tracks to any of the subs G2-G16 .The output of each channel assigned to a sub group will be controlled by that master sub group fader. The OVERALL output will be controlled by A1 and that does allow for 4 effects. You now have the identical setup as Cakewalk;Channels----->subgroups-------master stereo out. That extra section labeled "ALL" can be done awy with in my book. I just leave it up full and pretend it doesn't exist.

John
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