It looks like you're running into a targeting issue. The effect needs to be applied to a container, not individual paths. If the paths are in a group selecting the group automatically targets the group. You can see this in the Layers panel where there's a circle on the right side to indicate targeting and effects.
In the image below I've selected all. The group automatically has the double ring to indicate it's targeted but the "loose" objects in the layer below are targeted individually. 
You can target the layer by clicking in its targeting circle before applying the effect and it will affect everything inside layer.
Once you apply an effect the circle will have a little bump in it to indicate this. To view/edit the effect click on the bump and open the Appearance panel. You can remove effects by dragging the bump to the trash can in the Layers panel.