Ashley is the guy to ask about this, as he knows his way around audio engineering stuff, and more importantly, Construct. So Ash, how hard would it be to incorporate a filter or eq into Xaudio2? Would one need to write a whole new custom audio object to support these things? Is there a way to channel Xaudio2's output to another object?
To add to Construct's sound capabilities (ex: support VST effects), one would need to modify the Xaudio2 object to support passing audio to another object, or just add any effects directly into the Xaudio object itself, and rebuild the plugin. I geuss you can also make a completely new sound object too.
And I would forget about using the VST's gui. If this plugin ever makes it into existance, the only way you're going to be editing the parameters is through actions (ex: set param3: cutoff: 30%.). Adding rendering and interface support for the VST gui is just not worth the time, even if it may be theoretically possible.