Depends.
For one, I don’t consider distortion (or amp gain, in my case) to be an “effect.” It’s a core component of the tone.
When I say I would learn something “without effects,” I would generally mean “using my standard rhythm or lead tone,” which includes small amounts of delay and reverb – REALLY small amounts.
If I was learning a solo that had a flanger, or leslie, or some other REAL effect, I would learn it without that effect first.
I might also get the notes under my fingers (cement my chosen fingering, etc) without being plugged in, but that’s not a case of listening to what’s coming out, just watching what’s going in.