If you save an AE frame as a layered PSD all of the effects may not come through. This is normal because Photoshop does not have the same rendering functions as AE. Most things work, some do not. Without a complete understanding of the layers and effects applied it's hard to tell you exactly what is being left out. If you want you could select the layers in question, press the U key twice to reveal all modified properties and drag a screenshot into the reply field of this forum so we can easily see what's going on in the composition.