PS text with blending to vector Ai

Afternoon,

Personally, I really don't like working in Ai, instead I much prefer working with PS, especially when it comes to writing text, with borders / blending options / boxes and the likes of, which is then over some images.

The tricky part, is when I then need that text / box to be vector, for usage elsewhere.

If it's just simple text, I convert it to a shape, then import into illustrator, however, more often than not, I like adding some simple blending options e.g. stroke / inner shaddow / drop shadow... As far as I can tell, this doesnt port into Ai... any ideas as to what we can do here?

As a very crude example, see the attached. In short, blending options are applied to the shape and to the text. None of which I can convert into a shape. Insteady it creates a shape of the text / box, and still applies the blending options.