What am I missing here?

If you are performing "live" (as opposed to recording to a computer) then you want to set your MOX to use the Stereo Output (i.e., 2CH mode = one Single Stereo Output). You're probably setup for 4CH mode or Dual Stereo Outputs, where the A/D Input Part bypasses the System Effects.

4CH mode allows the A/D input Part to travel directly and discreetly to its own dedicated stereo output - and naturally bypasses all system effects, master effect and the master EQ, but allows for it go to that output (USB 1/2) with its Insertion Effects, in tact.

2CH mode allows all Parts (internal + A/D Input) to use the system effects (Reverb and Chorus)

Press [UTILITY]
Press [F5] USB I/O
Press [SF1] OUT CH (Output Channel)
Set Output Channel = 2CH

Extra Credit:
The 2StereoRec (dual stereo bus outputs) is designed for recording with a DAW computer software. The A/D Input is assigned to USB 1/2, while internal Parts default to USB 3/4 but can be freely reassigned to USB 1/2 when you wish to isolate a Part(s) to its own audio track. The A/D does not get routed to the shared (communal) SYSTEM Effects, in fact, when recording audio you typically record without reverberation (which is added later during the mixdown). Isolation is usually the goal during audio record.

The 1StereoRec (single stereo output) is designed for "live" standalone play. All Parts are routed via a single stereo output bus. Both the A/D Input and the internal synth Parts share assignment to the stereo out, and quite naturally the A/D Input Part can send signal to System Reverb and Chorus Effects.

Thanks problem solved. I never thought this can be the problem.