Here is an example with $Pic(X)$ finitely generated. Take $X = \overline{M}_{1,n}$ the moduli space of genus one curves with $n$ marked points. Then $Pic(\overline{M}_{1,n})$ is finitely generated.
Now, by Theorem $1.1$ of this paper:
https://www2.bc.edu/dawei-chen/Extremal.pdf
we have that $Eff(\overline{M}_{1,n})$ is not finitely generated. Now, consider the action of the symmetric group $S_n$ on $\overline{M}_{1,n}$ permuting the markings, and the quotient $\widetilde{M}_{1,n}:=\overline{M}_{1,n}/S_n$. Then, by Theorem $5.1$ of the same paper we get that $Eff(\widetilde{M}_{1,n})$ is the closed, simplicial cone generated by the boundary divisors.
Therefore, $Eff(\overline{M}_{1,n}/S_n)$ is finitely generated while $Eff(\overline{M}_{1,n})$ is not.