It can be applied to any object directly without having to convert the object to raster first. Even after applying the effect, you can edit the underlying object or remove the effect, all without having to redo your artwork. The preview option makes it a snap to adjust your settings. The layer palette is pretty extensive. You can organize layers by nesting related layers.
Any layer can have a sublayer and a sublayer can have a sublayer.
There's also a thumbnail for the object on the layer to help identify what's on it. You determine the size of the thumbnail and whether it shows on top layers or sublayers as well. As you can see below there are plenty of options available within the layer palette. See the buttons below. I made the first one quickly in Illustrator and exported as a PSD file.