First, is your Photoshop canvas larger than the text or just the size of the text. See about adding some blank, transparent space around it. (Image -> Canvas Size) Give the canvas the same dimensions as your sequence.
Second, try applying your effect to the video layer on the nested sequence instead of on the new sequence FCP made – or dodge the issue by using another image format with alpha such as TIF or PNG. FCP won’t nest TIF or PNG.