I just tested to verify this, and when I have a channel assigned to the crossfader (for this example, CH1 is assigned to CFA) and I either have the effects selected to CFA, CH1 or MASTER, I will have the effects tail-out when I cut out the audio by having the crossfader full-right.
Verify that you have the latest firmware installed on the mixer and you have the channel assignments set correctly for the effects and/or crossfader.
Regarding the lag length, I'm sorry -- not sure if I understand that the length between the end of crossfader movement and the first spot where audio can be heard is too short or too long?