Which version of the program are you using? What operating system are you using?
What type of audio file are you applying them to?
What steps are you taking when you attempt to apply them?
This is a big newfie answer. I fell into the answer. Turns out that when I did a click/drag to the timeline I only hit the video part of the highlight which did not work. Once I happened to go a little lower and hit the audio part of the highlighted area and wham it started working...I hate new software.
As you have found out, Video FX will only go onto Video Clips, and Audio FX onto Audio Clips.
I am not the biggest fan of the Track Layout (and obviously Clip placement) in PrE, but others really, really like it. I am just used to all Video on the upper part of the Timeline, with Audio on the lower part.
Good luck, and thanks for letting us know what fixed it for you.