@Khaled > Some answers and some questions...
1) Most of the Color FX will increase the volume a slight amount as they are typically "adding" to the audio. Even the filter can register as being louder because of the Q of the filter itself, peaking above zero, causing the channel / master meters to reflect that increase.
2) If you have verified that the tracks are accurately beat gridded within rekordbox, and you are using the sync function, the two tracks should be in sync, unless you have the quantize disabled. If you are NOT using sync, even though the two tracks show identical BPMs, it may either be slightly off or it's possible that your tracks are not sync'd properly. Give it a nudge to get in sync and it should stay there.
3) Does the "cut off" happen at the end or beginning of your track recording? I assume this is where you press the track marker button? Are you recording to the same device you are playing from?
4) That is perfectly normal.