I agree that the XACT documentation are very lacking.
As far as I found out there are only one DSP available that is "Microsoft Reverb" you mentioned.
To get it to work, you first create the Microsoft Reverb by right clicking DSP Effect Path Preset > Global and select "New Microsoft Reverb Preset". To make things obvious select "Massive" effect preset from Microsoft Reverb's drop down list. Then drag "Microsoft Reverb" to your sound bank name. Your mouse pointer should turns into "shortcut" icon when dragging over a sound bank that has no reverb applied yet.
You can confirm that there is an effect applied to your sound bank by looking at "Attached Objects" box of sound bank's property. There should be 1 effect in the right table of that box.
Test your sound bank by highlight it and press space bar. You should hear the reverb by now. Then proceed to reduce reverb parameter so it's less annoying.