It seems VST effect name from effect rack view disappear if you reload your project.
There is only "VST Effect" general name, but not real VST effect name, no matter where you put this effect.
Proposed a temporary solution which should fix problem, see
Fixed as of commit 7084ec0be6d4c47de27498c4c4ad7909c5748add in version 0.4.14 and above.
It would be nice if you did exactly this with SF2 player too as it has the exact same fault. https://sourceforge.net/p/lmms/bugs/560/