The V-AMP's effects section can indeed be bypassed by turning the EFFECTS knob completely down (as you've figured out.)
You will note that the LEDs turn off around the knob and the effect in no way imparts the signal at that point.
If anything, I think the unit's engineers may be remiss by not additionally extinguishing the LEDs from the upper EFFECTS dial, but they've made me very happy so far that I'll just let this one slide!
Follow-up:
It appears that one can officially bypass the EFFECTS section using the free companion computer software from Behringer.
An on-screen "Global Fx On/Off" parameter switch exists for the tweaking and most likely it is "savable" to the patch for free-standing V-AMP use. And hopefully, all corresponding LEDs should extinguish from the front panel while this setting is in effect.
Can any of you, with working access to the software and hardware, confirm or deny this to be the case?

If not, worth checking out