Gaussian Blur and other effects not working on Illustrator

Hi guys,

I'm new to AI and I'm creating an Infographic. In my file, I selected the shape I'd like to blur and then went to menu Effects-> Blur->Gaussian Blur->In this window, when I put the radius preference and checked the preview button nothing happens. Illustrator doesn't apply any effect on my shape. And I really don't why. I also tried to use other effect tools with my selection but nothing happens. Are some of my AI settings wrong? I'm using AI on Mac Os Catalina. 

Look forward to receiving your help! Thank you!