There is no hard rule. I usually print effects like chorus, flange and always distortion when I'm recording guitars or keyboards, but then add reverb or echo/delay later. Effects make you play a certain way and so it's crazy not to print those effects. I'm sure someone like The Edge or David Gilmour who used delay as a big part of their playing printed most of those effects.
You can also print the effect to another track so that you have more options when mixing. One dry track and one effected track.