Axeman is right; you can't create a single multi-layered preset. If you’re doing this effect for the purpose of sharing, you'll need to create the 3 individual presets.
If you're simply looking for a way to more easily manage this effect for your own usage, you could export all three layers with their alpha channel in tact, and then combine those layers in your NLE to make a single composited video file. You could then import that file back into your FxHome product as a single layer. You won't be able to adjust the effect in this state, but you can key-frame animate the clip just as you can any other static clip. The process may or may not be well suited for this particular effect, but it works well for many multi use effects such as explosions, muzzle flashes, ricochets, etc. and it really speeds up the rendering process for complex, multi-layered effects.
I have a video tutorial describing this process on my site if you're interested. In the tutorial, I use Adobe Premiere as my NLE but the principles apply to any alpha capable NLE.http://home.closetfilms.com/default.asp?action=extras