I file this under rhythmbox with the strong belief that it's a gstreamer problem, namely the lack of polish of the LADSPA plugin. It's a shame for us because many interesting effects are provided by this plugin.

Anyway:

On the xfade backend:
Inserting while playing will either crash RB or hang playback.
Inserting right after RB's start will work, but something like [Play] wait a little [Pause] insert filter [Play] will not.
(Removal doesn't seem to work for any filters.)

Try this at home with the python console:
import gst
c = gst.element_factory_make ("ladspa-gsm");
shell.props.shell_player.props.player.add_filter(c)

Insertion works almost ok on the non-xfade backend (but see #499048).