any layer effect have to be applied to a layer that has some pixels on them, selections don't alter the effect because it is applied to the layer(so not like a filter, that you can apply to the pixels inside a selection.
If, for example, you want to apply an effect of a glass mirror select the area to be mirrored(on the layer with the image), then create a new layer from the selection (CTRL+J)and apply your effect to the new layer.
Layer effects can onlt be applied to vector shapes, not vector paths because paths by themselves don't occupy a layer.
If the vector art from illustrator is a path then you will have to define a custom shape and then apply it (make sure that you create the shape as shape layer -see above) or rasterize the vector shape.
Moe: It could have been a real ugly situation, but luckily I managed to shoot him in the spine.