Doesn't sound correct as this problem hasn't cropped up, to my knowledge, before. Are you applying PIP FX to the Event or Track? A screenshot of your timeline and Preview window would help.
I'm applying PIP FX to a clip. For test purposes, I want to put a still red rectangle (track 1) in PIP over the video on track 2. The red rectangle of track 1 lies fixed outside the PIP window. Screen shot below.