How do i make a layer transparent only for some objects / background ?

You misunderstand. You would apply the Photoshop-based layer style, not the effect. You can also use the Glow effect and crank up it's settings to create a hard edge.

Mylenium 

I am a little confused about your workflow. You have a bunch of Vector Layers (from illustrator) that have been converted to Shape layers, turned into Guide Layers (which will not render), and then turned off. You have other converted vector shape layers that are turned on. Unless you are using shape layer animators, extruding the shapes using the C4D rendering engine, or actually animating the layer paths, this is a complete waste of time, and it also usually increases render time. 

When you create your Illustrator file, put each element that needs to be individually animated on a separate layer, import it as a composition retaining layer size, and start animating. If you are trying to animate the legs moving or use Puppet Pin, there I see no need to convert any of the AI layers to Shape layers. If you properly organize the AI file you should have each body part including the ghost background on a separate layer. To prevent the Ghost backgrounds from overlapping the main body part ghost background, I would create duplicate layers of the semi-transparent ghost background, make them fully opaque, and then set them as Track Mattes for the main body background using Set Matte. 

The first rule of any kind of animation project is "Simplify." Try and figure out how to get the parts you want to move organized in the simplest and easiest way possible. If your 18 separate parts that you would like to animate independently, each should be on a separate primary layer in Illustrator and your AE comp should not need more than 18 layers and a few nulls to efficiently animate that character.