Example: If you're using a color overlay to change a highlighted state with that effect tied to the layer comp, opening the PSD fresh results in the color overlays not being what was set in the layer comp.
As a workaround or different method for using Layer Comps with Layer Effects can you try this out:
1) Apply the Color Overlay to all the layers you will be using for normal and highlight states.
2) Turn off the Effect visibility of those layers in the Layer panel to setup your first Layer Comp, then save.
3) change Effect visibility again for next Layer Comp state, then save.
I'm logging a bug for the conditions you have so we...