I don't think I have ever had this problem before and I have been using CS4 for a few months now.
Anyway, when I put an effect onto a video clip the effect works fine, but as soon as I use keyframes to fade the effets in/out the effect doesn't work. I.E. I apply Gaussian Blur to a clip and if I alter the value of the blur the video blurs more or less; however, as soon as I set keyframes the blur doesn't show up at all no matter what the value is.
I have also attached a screenshot of the problem if that helps.
If anyone has any suggestions it would be much appreciated!
Does the effect show up when you render?
It looks like you are using avchd footage; perhaps Pr cant preview animated blur on avchd.
I've not heard of any problems Keyframing Effects with AVCHD, but perhaps not that many are doing it.
A cursory look at the screen-cap did not show me anything that seemed out of order.
As a test, I'd try Keyframing one of the "fixed" Effects, like Opacity, to check the Preview.