effects loop

It's surprising to hear that Marshall's own products don't sound good with their amps. It sounds to me like the pedal does not have a true bypass.

I don't understand why this has become such an issue in the past few years. It seems to me that a true bypass is such a simple circuit design that it should be of no consequence but I guess it's cheaper to just "turn off" part of the board rather than create a whole seperate path for the signal.

what exactly is the effects loop for?

An effects loop is there for effects that you don't want to be affected by the distortion circuitry. For example reverb when distorted sounds horrible but when you add it to the distorted signal before it goes to the amplification circuit it can sound very nice. Chorus, delay, flanger are the typical things you would want to keep in the effects loop.

Compresser/limiter, gate, distoriton, eq and any effect which you want to apply to the general tone of your guitar, (which would affect the entire signal) you would want to keep in series with the amp input.

To follow on from what hueseph said, the pre-amp in your amp is also regarded as a distortion circuit and, so, goes before the time based (echo, reverb, etc.) effects. This is the reason for having the effects loop, between the pre-amp and the power amp.