Third-party plugins can be used as FX, however they will not show in the FX Select drop-down menu. Navigate to the Plugins tab in Library area in Serato Studio, then drag and drop the plugin you wish to use onto an FX slot. Note that plugins which can be loaded as FX will show the Plugin Effect symbol, in the status column of the Files panel.

When using Plugin Effects, the FX Depth will be replaced with a toggle to show or hide the plugin interface, as pictured below:

Plugin Effects loaded onto an FX slot