applying effect issue

You need to first ask yourself, what is the ultimate goal with this document? If you are going to print it, you need to know it's not the best to be building your document in RGB colours that are wildly out of gamut (i.e. out of the printer's ability to reproduce.). If you DO use RGB colours, it's good to know what your colours will look like based on your potential output device, say a CMYK printer. This is actually a good thing so you can predict what will happen in print.

As mentioned, the Transparency Blend Space will determine how your effects are rendered. If it's set to CMYK, all your objects on the page will be converted to CMYK based on your CMYK output profile in your Color settings.

Even if you leave Transparency Blend space set as RGB, if you have Proof Colors turned on (under View), your colours will change according to what your Proof Setup is set, typically a CMYK output profile. Again, this is a good thing and necessary proofing step.

If you are intending to export your document in only RGB colours for, say, screen use, you could chnage your Proof Setup to, say, sRGB, so even if Proof Colours is turned on, it should show you your intended appearance in RGB.