Sorry, I realized after posting that you are applying a Photoshop effect within Illustrator. Therefore, the vector shape is being converted to a raster image.
A way around that is after applying the effect, select the object and choose Object > Rasterize. Then use the Image Trace command in the Properties panel. Open the Image Trace Panel and expand the Advanced section and put a checkmark on Ignore White. Back in the Properties panel, click on Expand.
That will get you back to a vector shape. Of course, it will no longer be an effect. Since it will not be editable as an effect make sure it looks the way you want before following this procedure.
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