I know and it seems logical to me that if I use an Insert MultiBD in parallel, I would have to correct any annoying latencies by hand.
But the Dry and Wet Return controls are part of the FX slot and are basically “hardwired” into it, so no corrections are possible there.
In this respect, you should expect to be able to use these controls without rendering the signal unusable.
It would of course be completely logical to me that the Dry Return of the Insert FX would in turn cause a latency to the parallel direct signal outside the FX.