When you’ve imported as composition, instead of dragging all the files from the proj window..double click the composition icon in the project window and it should open a new comp in the timeline based on the size of the p/shop file.
As for shadows and glows, etc. it depends on your version of p/shop and afx but I think crossover support has improved as they’ve updated the apps. They will probably come in as adjustment layers. The fool proof way of doing it is merge all your layer effects into the layer in P/shop first (Keep an editable copy of the PSD aswell though!) and import the version with ‘flattened’ effects into AFX. It means you can’t edit the glows, etc in AFX, but I guess you could just recreate them within AFX from scratch so you can alter props over time?