When you hit stop in Vegas it stops the audio engine, so NO audio will be output from the soundcard. This is one aspect where mixing on a PC differs from a hardware setup, where your delays or reverb FX returns would of be left to decay after you'd stopped the multitrack.
As far as I know there is no setting in Vegas to change this behaviour.
To listen to an effect on and individual track you will have to solo it.
You would probably be better off creating an fx bus, inserting the Reverb/delay in it and using the FX send from the track. To hear the FX output solo the FX bus. If you want to listen to the decay, hitting mute on the source track will kill the FX feed but leave the reverb tail/delay repeats to die out.
"...but if you use cubasevst you have not this prob, always if you use vst or dx plugins. this is a difference between audioengines...?"
Yes, I guess it's just a difference between the operations of the audio engines.
I think there are good aspects to both - obviously your original post highlights a need to hear FX decays when stopping the audio. On the flip side when you are editing etc it can be annoying to have any audio output still playing once you have hit the stop button. I guess it would be nice to have an option to stop all audio or not?