Rockbox is a complete replacement for the software (firmware) running on your X5, and JetEffects is a purely software feature of the original Cowon firmware.
So yes, you'll lose JetEffects when running Rockbox.
On most devices, you can "dual-boot" between Rockbox and the original firmware, but this isn't officially supported on the X5 (i.e. the official installation instructions will result in a single-boot system where you can only run Rockbox).
There is an unofficial dual-boot bootloader, but I know nothing about it. You can also follow the uninstall instructions in the Rockbox manual to go back to the Cowon firmware if you don't like Rockbox.