I'm thinking its a matter of signal levels (possibly impedience related as mentioned, but also a matter of which preamp is first).
Most FX loops are after the amp's preamp.
So when the pedal is first, you're taking guitar ->wattson->amp. You set the wattson higher and set the input of the amp lower to compensate.
When you put the pedal into the FX loop, you're already pre-amping the signal before it hits the wattson, resulting in less gain needed for the wattson before ear-splitting/breakup.
A fun test: put the pedal first, set all your levels. This should set both preamps to be decent level-set where you want. Then move it into the FX loop, change absolutely nothing, and see how it works. (Maybe lower the master power-amp level if anything, but don't change input gain on the amp)