You can add a stroke to a frame, but you can't add Layer Styles or Filters to a frame.
https://helpx.adobe.com/photoshop/using/place-image-frame-tool.html#stroke-frame
If you want to add Layer Styles or Filters, you'll need to add them to a different type of object. In this case, you would need to duplicate a layer. Here's one way that you could do it:
Create a shape with one of the Shape tools, such as the Rectangle tool that will become the frame (draw the shape instead of using the Frame tool).
Duplicate the shape (you can drag it to the + button at the bottom of the Layers panel)
Place your photo (File > Place Embedded...).
Select one of the rectangle shapes in the Layers panel, right-click, and select Convert to Frame
Select the other rectangle and apply the desired effects.
Select both the frame with the photo layer and the rectangle with the effects in the Layers panel, right-click, and select Link Layers (when they're linked, then you can move one and have the other move with it.
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