If you make a model with wing flex, and "build in" the strobes on the wing tips, does that strobe use an .fx file for the effect? Or is it all coded into the model?

That depends...If you build the model for FS9, then the modeled "lights" on the wingtips will be polygons to which one has applied a Material named LIGHT_NAV and/or LIGHT_STROBE.If you build the model for FSX, then the "lights" will be .fx files Attached to the model via the Attachpoint tool.

So the answer to the first question is a confusingly accurate "Yes."