Try to unplug the DDJ-RX, I don't think you can edit it when the RX is connected. At least I can't when my DDJ-RZ is connected.
If I disconnect the RZ, then I can edit the Color FX.

When I turn on the DDJ-RX and conected to the laptop , then open the rekordbox dj. I usually use CFX on the user mode, but EDIT button is missing and Effect has no dropdown menu to select FX what I want. Is it a bug in version 4.1?
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Try to unplug the DDJ-RX, I don't think you can edit it when the RX is connected. At least I can't when my DDJ-RZ is connected.
If I disconnect the RZ, then I can edit the Color FX.

It could be edited in the previous version like manual page 179. As you can see version 4.1 is something strange. Each Effect button in the DDJ-RX can be assigned a custom Color FX with rekordbox dj (above version 4.1), but now is missing.
Did you try to unplug DDJ-RX from your computer?
Yes I tried this before. Once unpluged the DDJ-RX, how could assigned the custom Color FX to the DDJ-RX? The Default Color FX on the DDJ-RX is NOISE, CRUSH, PITCH, and FILTER, in the previous version I can assign the other Color FX to the button what I want and NO unplug DDJ-RX.
This problem is solved. It must be turned off the FX, it's such a silly question I made.