New to Mark 4

[Harbinger]

Hi there, as I said I have recently picked up a Mark 4 and am loving it! I just have a question about the FX loop. I have an axe fx 2 in the 4 cable method and It seems when I turn the loop of via the foot switch that some fx are still on. I'm probably missing something, I have read the manual but am still a bit confused on how the loop works.

Thanks in advance