[Kevin Howard]

I found the steps !!!

1) on the timeline drag all clips in, side-by-side. That will add them to “Sequence 01”

2) in the Project Window at the bottom, click the “New Item” button and select “Sequence”. That will add a new empty timeline with a Tab at the top called “Sequence 02”.

3) drag Sequence 01 into the timeline and you will then see your “Virtual Clip” and all the clips from Sequence 01 but they will show as a single clip !!

4) Now just drag and drop any Video Effect you wish to the Virtuyal Clip in Sequence 02

DONE !!!

[Kevin Howard]

Yes, a long-term mystery. There must be a way to do it because it is so useful. So far I copy the Filters from one clip to the next, but if you have 10 or 15 clips stacked along the Timeline . . . what a pain. It works but much slower than the Virtual Clip technique.

Maybe Adobe removed that feature entirely ?
I just tried Jon’s nesting clips solution but like you, I just couldn’t figure out the steps.