Drag the Effect.prefab into a scene, then into the preview window; but that only seems to work when in run mode? How are you activating the preview anyway by clicking on a animation? Preview window is buggy? Also you can just preview it in the editor:
- Drag Effect.prefab into scene.
- Select it and choose an animator controller.
- Hit Play. (Or open animation/animator windows)
- Goto 2.