Let me explain how it works for me.
Effects keyframing only works on the effect you are using, they are independently set for each effect you have added.
Put a multi-clip movie segment on the timeline, hit the Ctrl and End keys simultaneously to get to the end and drag the effect(s) on to the timeline from the Resources window, then hit the Ctrl and Home keys to go to the beginning.
Enable keyframes (the horizontal key symbol over the timeline), make an adjustment to the effect and a keyframe will be generated automatically. Move the cursor until it becomes an arrow at the junction with the next clip and left click to put the playhead there, then backspace one frame to the end of the first clip (hit 4 or left click the frame reverse arrow above the timeline), adjust one parameter minutely and return it to its setting, one click on the mouse wheel rotation in each direction will do it, to set another keyframe which will hold the settings for the length of the clip. If you don't the settings will change as you adjust to set the next keyframe. Go forward to the first frame of the next clip, reset the effect to set another keyframe, make any necessary adjustments, then repeat as for the first clip and do that all the way down the segment. Do remember to disable keyframes afterwards or you might inadvertently change settings while fiddling!
Best bet by far is to Save As after each operation e.g. colour correction using (say) Histogram, Saturation and Unsharp, then there is a point to return to if the next operation goes belly up, or you want to make changes.
I prefer to put all the effects on the timeline and adjust them for each clip together, so I can see the overall result before moving on to the next clip. Effects are read from the top to the bottom of the stack and it is usually necessary to disable the effects lower down the stack while making adjustments. Using the example of Histogram, Saturation and Sharpen, disable Saturation and Sharpen while adjusting Histogram, or the Videoscope readings will be incorrect and so will the resulting settings, then enable Saturation and adjust that before moving to the next clip. I usually use Sharpen as a track effect, meaning I don't keyframe it for each clip, keeping it disabled until the rest is complete.