Yeah I get this with Ablteon sometimes too, it might mean having to change the way you've edited it. I'd zoom in as much as you can on it and you might find a point in and around where you wanted, where you can put your beginning marker for the on/off of the effect. If you are precise enough you may find a point that will create no click.

Are you sure that the click isn't coming directly from a sound or two within the track? If so I'd go in and do a little snip or gentle fade out before you put your master effect on.

Alternatively you could roll with it, not let it annoy you and try to remove the click in Sound Forge. I'm not sure how bad the click is though