This is all occuring within CS6. With both CS5 generated files in CS6 and CS6 generated files in CS6. Its super annoying, if that ICC box is unchecked the files preserve raster effects. Odd right?
Yes this is very odd.
Do a test with a fresh new file and one shape to see what happens. This way we can figure out if this happens to all files, or if there may be something strange with your file or color profile.
Are you usng any 3rd party plug ins or a custom color profile?