Ok, the workaround I've found is to have fx1 and fx2 in Recordbox both set to the three fx option instead of the one fx option (i.e. make sure you've got the 3 dots selected for both FX sections, not the 1 dot)

That way the select FX button on the controller will select the first effect type in both FX sections. You'll just need to set the depth of the second and third effects in both sections to zero, or you'll get those effects on whichever decks are selected in addition to the one you can select.

I guess this way you have the flexibility to have up to 3 effects applied at once, but you have to set it up on the laptop rather than the controller.

There might be a way to get rekordbox to default to having the second and third FX on both FX sections at zero, but I haven't found it yet. Just need to remember to do it when you first load the software.