Any effect you apply that is new to Photoshop since version 3 can't get imported into FCP (so I'm assuming that's also true for DVD SP3).
I'm assuming you're adding a drop shadow by adding an adjustment layer -- these won't import. You have to flatten the image (and lose your adjust layer) and then import it.
BTW, it's generally not a good idea to cross-post questions, and we try to avoid it in this forum.