Welcome Zenborn!
Be sure to post progess you make to your map. Have some rep for posting your first work in progress on our forum.

As for keeping the sheet effects on:
As Davros said, when loading a map they will be turned off for performance reasons. Especially on larger maps having the sheet effects on will make CC3 very unresponsive (taking 20 seconds to zoom in for example).

Anyway, if you want to always have them on, here is a post by another user on the Profantasy forum which explains the actions you should take:

Under Tools -> Options, you can set the effects to be always on on load. You can also do this for any single map by going to File -> Drawing Properties -> Map Notes and edit the OnOpenMacro note. Here, add the command EFFECTSON on the bottom line (below the text already here). This will cause the effects to be turned on for this map each time it is loaded.