first, create a VEPro instrument and connect it to an instance.
second, insert an "Event Input" at where you want the FX, assign it to the instance you just connected to.
third, go to the VEPro instance and create an input channel
fourth, insert the FX you want on the input channel
then, the WET signal will return from the instrument's return.
Here is a feature request to VSL: it'll be so useful if you guys can make an "effect version" or "audio through" version, let the audio go through it, and come back directly, instead of coming out from a different track like right now. Make the "event input" an "Event through" by adding output to it and let it connect to a new instance instead of assigning it to an existing one.
Just like what AudioGridder is doing. They have some cool concept and it seems is gaining momentum but they are much less stable, especially the large buffer/lag.