That's the normal behaviour. There are two ways of doing it:
- Choose Track > New ... > Software Instrument and select "Multi-timbral". That will give you (by default) 16 tracks that will share the same plug-in (and effect chain). You only have to assign the plugin to one of the new channels, and it will appear on each of them, with a different MIDI channel.
- Create a new software instrument track for just a single instrument, then set the midi channel to 1 (in the inspector, it's "All" by default), and set the plugin. If you want a new track for the same plugin, go to Track, and create a new track with the same plugin/next midi channel.
It's obvious once you know it, but the first time... Anyway, the second path is a bit more flexible: you can create tracks one at a time, and you can also create tracks with the same MIDI channel (which comes in handy sometimes). If you don't create 16 channels with step 1, you can extend them as in step 2.