What are the properties of a function based on multiple iterations of a pseudo-random permutation? Let $F(S) = \text{Keccak-}f[1600](S)$.  

Assuming that the length of $S$ is equal to $1600 \times k$ and if $k$ is greater than $1$, we define a function $F_{k}(S)$ as follows.  

We note that $S$ is a concatenation of $k$ $1600$-bit sequences. We denote these parts by $X_1$, $X_2$, ..., $X_k$.  

We choose (arbitrarily or randomly) $k^2$ different $1600$-bit sequences and denote them by $Y_1$, $Y_2$, ..., $Y_{k^2-1}$, $Y_{k^2}$. Note that these sequences are open, not secret.  

Then $F_{2}(S) = A_{1} \mathbin\Vert A_{2}$, where $$\begin{array}{l}
A_1 = F(F(X_1 \oplus Y_1) \oplus X_2 \oplus Y_2)    ,\\
A_2 = F(F(X_1 \oplus Y_3) \oplus X_2 \oplus Y_4).\\
\end{array}$$  

Similarly, $F_{3}(S) = A_{1} \mathbin\Vert A_{2} \mathbin\Vert A_{3}$, where $$\begin{array}{l}
A_1 = F(F(F(X_1 \oplus Y_1) \oplus X_2 \oplus Y_2) \oplus X_3 \oplus Y_3),\\
A_2 = F(F(F(X_1 \oplus Y_4) \oplus X_2 \oplus Y_5) \oplus X_3 \oplus Y_6),\\
A_3 = F(F(F(X_1 \oplus Y_7) \oplus X_2 \oplus Y_8) \oplus X_3 \oplus Y_9),\\
\end{array}$$ and so on.  

Question:  if $k$ is greater than or equal to $2$, is $F_{k}(S)$ a PRF or PRP? What is its security parameter (the expected number of security bits)?
It is neither, because you're only talking about a fixed function—it's not even the right type of object to be a PRF or PRP.  Keccak-f[1600] is not a pseudorandom permutation family itself; it is a single fixed permutation.  A PRF or a PRP is a family of functions indexed by a key, such that a uniform distribution on keys induces an apparently uniform distribution on functions or permutations in some space.