I have a blur out video fx and I was surprised to see that Vegas does not save the keyframes. How do I do this and save so that I can drop the effect on top of one of the objects ( I realize that I would have to adjust they keyframe relative to the length)
No, not possible. A preset is a "snapshot" of a single set of values. It can't have more than one set of values.
But a Filter Package can. After you've set up an FX (with keyframes) the way you want, click the Plug-In Chain button (right side of the Video FX window). In the Plug-In Chooser window, click Save As and give the package a name. You can then select that from the Filter Packages folder of the Plug-In Chooser window, and it will bring the keyframes right along with it.