Lighting Effects only supports 8 bit/channel RGB images.
Take a look at your documents where it doesn't work....
(the file format makes NO difference)
I will convert them to 8 bit
Chris is right, when working in CMYK some filters don't work, but check out this tip for how to apply the filters when in CMYK (bc sometimes, esp in print, you must work in CMYK and switching to RGB and back is a bad idea!