This is something that has been on the table for years -- even back with the DJM-800 that did not have any computer connection nor an easy way to update the firmware, users were asking to have some kind of custom FX.
As @Armand says, the "walled garden" approach ensures that when you come to the DJM at the club, you know exactly what the effects are and how they work, as opposed to the totally customized and unexpected effects the resident DJ has configured. But with the ability to load our custom settings to a CDJ from our rekordbox-prepared USB drive, I would love to see a similar function for DJMs (as this would help mitigate the "unexpected" configuration noted above). Hopefully a future model will integrate this kind of feature, but none of the current hardware could support it.
Thanks for your feedback.