In multifx mode, each slot has 2 effects available - you can control the parameters of the effect and the wet/dry mix separately for each slot.
There are also two aux effects globally available - the parameters of these effects are set on the effect, not the slot, but each slot has its own send level controlling the amount of the effect applied to that slot. The return levels control how much of each aux effect is sent back into the mix.
Finally, there are two master effects - again, the parameters of these effects are set on the effect, not the slot, and every slot gets the same amount, as set by the wet/dry mix for the effect.
An example: I know I'm going to have the same reverb on everything - that becomes a master effect. I'm going to have some chorus on a layered string sound and pad, same rate & depth, but different amounts on each - that becomes an aux effect. Finally, only my lead voice is going to have some distortion, so that becomes an effect on the individual slot.
Hope that helps - re-reading it I'm not sure how clear my description is, but basically it's emulating how effects are used with a mixing desk, play about with it and get a feel for how it works and it should start to make sense.
I didn't bother with it to begin with, but now it's one of my favourite new features of 1.4