Its under "effect".
http://manual.3dgamestudio.net/Shader-effect.htm I only have the english manual, for good reason, the german manual is often outdated.
The .fxo files dont pop next to the .fx file, they are created in the project folder, where you main script is. This sort of makes sense because files in that folder override files in subfolders.
I'm not sure what you mean with workflow, its your thing how you organize your work. Typing a "-fxo" in the command line, what has this to do with workflow? Many can be said about bad workflow, but I dont see a relation to the shader compiler.
