bezier tools

Your images look like a raster sketch, not a bezier image. Did you draw them with vector tools in Photoshop? If not, you just need to import the image in Illustrator as a reference and draw vectors using Illustrator's tools.

If you've drawn the shapes in Photoshop, you can export them as Paths to Illustrator and then add all needed attributes. No, export does not keep the effects due to different technical principles of Photoshop and Illustrator.

You can add and combine effects and overlays using the Appearance panel as Monica suggested. You can consider it as some analog of the Photoshop layer effects.

Yes, Illustrator works fine with Bezier splines. Yes, there is the Blend tool there. Yes, there are some different options for snapping, and you can adjust it as you need. Yes, there are some Photoshop effects which you can add to your object. But, just like in Photoshop, they will not create real 3d (as you talk about RHINOCEROS, you need finally some 3D object, yes?)
For 3D you need to use the 3D and Materials panel. There you will find all usual options such as fillets, offset etc., and then you can export the 3d object in the needed exchanging format to open it in the needed 3DD soft.

Layer effects will not be editable in Illustrator. With some of them the vector paths might still be there, others not so much.

As for the other tools: Yes, maybe. If you would care to explain what they do.