You might have to restart X (ctrl+alt+backspace) the first time you enable desktop effects, but I don't recall having to do so.

That said, if you have checked all options, then you should have window decorations such as shade displaying, you should have wobbly windows when you move them around, you should see the cube rotation when you press ctrl+lat+left or right arrow, or when you middle-click on the desktop and move your mouse around. Do any of these effects show up?