Okay, I have noticed something but I don't know how to change it. The eye icons are slightly greyed on the layers where the fx are applied. I made a new document and applied some fx and they showed up and the eye icons are fully saturated.
Nope. I tried toggling that one but without change and you can see in the screenshot that it is toggled on. For some reason you have to right click and enable. I don't know why but there are a lot of things I don't understand when it comes to photoshop.