@Jke
When using multitrack streaming/recording, the direct output is taken from a point in the input channel. This may or may not include an inserted FX Unit, but is definitely taken before the signal has even been sent to an internal FX Unit.
The wet FX-only signal can be recorded to a separate channel in your DAW, by patching directly to the assignable USB/SD channels, or by sending to an Output mix and patching/recording this.
Hope this helps!
Keith.