EFX is a functionality intended to enhance the sound space in the game, but the implementation at the moment has certain issues that can lead to several types of problems, such as clipping of high-volume sound effects, sounds coming from seemingly wrong directions, or echoing sound.
Not having heard what you hear I cannot say whether it is intentional effect or some type of anomaly, which could be caused by a lot of things, but prime candidate that comes to mind is a nonstandard OpenAL installation.
Some sound card and motherboard manufacturers provide their own versions of the OpenAL DLL file (openal32.dll), and they can change the way it works from Creative's reference OpenAL solution. Sometimes it can make things better, sometimes it makes things worse. It depends on the sound card and the particular OpenAL implementation. I seem to remember at least certain motherboard chipset/sound card drivers like to install their own version of openal32.dll, but can't recall the details. Do you happen to have an NVidia chipset equipped motherboard?