There are very good reasons to avoid recording your guitar sound with effects on it. First and most important is that once you record the effect with the track, it's there forever. You can't remove the effect or tweek it, or play with it, pan it differently from the track itself (which is common practice). Beginners to recording often find out the hard way they wish that great take didn't have the effect on it. What you want to do is apply the effect to the track after recording it clean. This way you can have total control over the effect in relation to the track. For example, you can ride the fader on the track containing the digital delay so that you get a lot of it when you're playing slowly, and when you're playing fast, you can back it off to retain the definition in your notes. And for example, if you're rhythm track is panned hard left, you might want to pan the any reverb for that track hard right. You can't do these things if you record the guitar with the effects on.
The second reason is that generally speaking, studio effects are of a better quality and are less noisy for recording than guitar effects -- unless you're using rack mounted guitar effects. If you are, it's STILL better to record the guitar dry and then apply these effects afterward.
The one exception is wah, which is an expression tool, that you pretty much have to record in real-time while you're playing. I'm sure there's some modern alternatives for doing it afterward, but in this case, they're probably more trouble than they're worth.