I've noticed that this is a rather common problem, and there have been threads, but most people are talking about Vegas 8. I'm using Vegas 12 and I have just encountered this problem. When I open the Audio FX window, it simply says "no plug-ins in chain". I have made sure to click "all", and I still have this problem. The "add", "remove", and "save as..." buttons are all greyed out.
I am still rather new to video editing so a lot of the technical directions in those other threads confused me. I tried renaming my Shared Plug-ins folder and restarting Vegas and then changing the name back and opening Vegas again, but to no avail.
In my shared plug-ins folder, there are two folders: Audio_x64 and Help Files. I chose to open Audio_x64 and there are .dll files in there and plug-ins, but Vegas does not find them. I found an ErrorReport.dll and took it out of the folder; should I put it back in?