Now you make me thinking? A click box is by definition 'invisible' to the user, would never think about adding an Effect to an invisible object. But you are correct, one would at least expect a warning, or greying out of the Effects which is not the case. Same with a shape for which you set stroke to 0 and alpha to 0%: it is invisible, so no effect is possible.
Learned something new...
Lilybiri