Nightmare:
now the question ... how will this affect performance and is it really needed?
Effect pools are supposed to give better performance if used correctly. I tried once to get them working, but was using a HLSL include, which for some reason didn't work as expected. I gave up pretty quickly.
Nightmare:u set the matrices on the first effect, each effect file use exact same name for constant buffer and parameter names. If i set these values on the first effect, will the other effect still know these values or must they be set separatly for each effect?
As far as I know, when you begin an effect you are always sending your effect parameter values across to the card. I could be wrong. If you could do this, you would likely end up at the mercy of driver implementations anyway. It's almost better to know definitely what is going to happen always, even if that means a slight performance overhead.