It's more likely to be the other way around, i.e. you play the sound and hear the effect, but it doesn't record the effect. This is because you can set the input to 'rec dry' mode. However, there is no option to not hear the effect as you play, but then for it to magically appear on the recording. If that is what is happening, you have a faulty unit. I would suggest returning it to the place you purchased it from, and get them to check it out.
Pinhead-
Mine does the same. I don't think it's broken, just a software problem. Once I've pressed record and then stopped recording the patches are routed through directly. It's like there's a switching problem inside somewhere.
