What you are describing is the audio automation system, specifically that it appears to be in Touch mode. In Prmeiere, you can record paramter actions while playing and they will be written as keyframes and played back.
For Clip Effects: Look in the Audio Clip Mixer, and the keyframe button to the right of the Mute and Solo buttons. If it is highlighted blue, any parameter changes made during playback will be written as keyframes.
For Track Effects: In the Audio track Mixer, look for the dropdown underneath the pan knob, and make sure it is set to Read or Off, and not to Touch, Latch, or Write. If it is set to "Touch, Latch, or Write" new audio track keyframes will be written during playback.