Where did they indicate otherwise? I will edit anything that is confusing.
If you want to use Rig Manager, what you can do is load the rigs from the Rig Exchange, then lock effects and load the rig you want to play. Or load the rig from the Rig Exchange, hold "Effects" to enter the edit mode for Effects, press Store, and choose to store effects instead of the full rig.
If you just want to import the Effects presets directly, you need to copy them into the Effects folder on a KPA USB drive, plug that in your profiler and choose to import.
It is unfortunate that Rig Manager is still a bit "narrow" in focus, and we still have to resort to moving a USB drive back and forth.