Effects in ArcGIS Pro are more or less symbology options. Though long separated, the addition of blending modes makes this feel even more the case. It's often a back and forth process between these toggles and your symbology colors to get your map looking good.
Therefore, I think it would make sense to offer the option of bringing these settings along for the ride when symbology is imported. I would suggest having them all checked by default, or remember the last setting.