Making smart object collapses the layer style

The problem is you do not understands how thing work in Photoshop.  For example there are no Pixels in Photoshop layers for layer styles effects. They are rendered for the layers composite for the layers content blending the layer style effects are generated into the composite.  When you convert layers the have layer styles Photoshop renders pixels for the layers blending and renders pixels for the layers styles effects for the smart object pixel. These are hardened pixels the cane not be changed.   The Smart object layer does not have any layer style. It has a hardened pixels for the object.   The layer styles are in the object not in the current document. There are Pixels in the smart objects that were generated fro the object but the are fixed.  They are not rendered for the a later style one the smart object layer. If you add a layer style to the smart object layer  the style effects will be generated for the smart object layer pixels not the layers in the object.

Are you viewing at 100%

I'm guessing you are trying to show the layer style effect without the layer contents by reducing fill opacity?  If yes have you reduced fill to zero?

Could you please post 

• a screenshot taken at View > 100% before and 

• one after converting the Layer to a Smart Object 

with the pertinent Panels (Toolbar, Layers, Options Bar, …) visible?

What are the Blend Modes employed in the various Layer Styles?