With effects, the effects type that you choose is system-wide, so it will affect all parts and channels.
If you don't want the effect to affect a particular part or channel, you need to set the send level for that effect to 0 on that part or channel.
For example, if you choose a particular Reverb Type (which is done via a SysEx message), that Reverb Type will be used on all parts and channels, whether you want a given part or channel to have reverb or not.
But you can set the Reverb Send Level on each part or channel (which is done via a CC message), and to turn it off you would set it to 0-- which doesn't really turn it off, but turns it down all the way, which basically has the same effect as turning it off.
This is true of the Reverb effect and Chorus effect, and I think it's normally true of the DSP effect as well (which may be called something else, such as "Variation").
The exception to this is an "insertion" effect, which is applied to a specific part or channel rather than to the entire system. I'm not sure of how it all works, since I don't have it on my keyboard models, but the DSP effect might be able to be used as either a system-wide effect or an insertion effect.
Actually, "DSP" is an ambiguous name to call it, because technically reverb and chorus are DSP effects, even though they're classified separately on the keyboard. I think that's mainly done for convenience, since reverb and chorus are probably the two most commonly used types of DSP effects.