The effect of »Wind« is horizontal if I remember correctly, so what do you expect the Filter to do for of a white horizontal bar on a black background?
The line was originally vertical when I added the effects, I then rotated the line horizontally.
Do the smart filters not move with the shape?
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When Smart Filters are applied to a Smart Object and one transforms the Smart Object they are re-applied.
You could convert the SO with the applied Filters to a SO before rotating it.