As of CC 2017.0.1, the issue described by Sunny is present. Depending on the effect and what is being attributed (opacity, transformation, rotation, etc) keyframing of an adjustment layer does nothing. For example: the opacity curve of a Camera Blur effect cannot be keyframed on an adjustment layer, but Gaussian Blur works just fine. It is not limited to built-in effects. I’ve had problems with RG Universe, Trapcode, among others. They are all hindered by the same issue, but finding a correlation among them in order to pin-point the source has proven difficult.