You are listening to the data received from the ADC being looped back to the DAC.
I understand what you are saying is true in the context of the effects stuff but what I think quicy is after is playing a file - a backing track say, and adding another track to it (vocals) and record the resultant mix.
This can be done in two ways;
A) play a file to line out, mix in the new track(in the analogue domain), record the original + new to a new file
B) play a file, get line in (assume it is only the new track) and mix it into the original file (or maybe the input will be written to a second file to be mixed off-line)
I suppose that they are roughly equivalent to the old two deck and single deck tape recording methods. To cary the analogy further in B you have the delays caused the the pipelines in the DAC and ADC, the same as the distance between the record/playback heads on the tape players. On the tape players they eliminated this problem by using the record head to play the backing track while recording the new track.
I suspect the pipelines are tiny (single sample each maybe - you'll know from the effects stuff) but any leakage of the backing track into the recording stream will cause it to be mixed in a few samples out of phase - effectively creating a filter.
Option A of course suffers none of the synchronisation problems but does have multiple D-A/A-D stages so there will be increasing levels of qualitisation noise.
Just the ramblings of an intrigued lurker ...