Gaussian blur reverting when opacity is updated + blur effect creating a rectangular frame
Gaussian blur gets disabled when you change the opacity of the shape; and will have to open the gaussian blur effect panel to re-apply the blur.
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Nitin, please check the Effect > Document Raster Effects Settings dialog.
How large is the chosen resolution? If you work with the screen-intent in mind, 72 ppi is what you should pick to generate the blur.
Next, check the 'Add' value. Illustrator does not calculate the required bound for the shape automatically (I have no idea why and even made a request for it: https://illustrator.uservoice.com/forums/333657/suggestions/46538296). Please increase this value manually to avoid cropping.
Finally, the problem with dropping the appearance on canvas on changing the opacity seems to be caused by the recent live preview changes. The developer is notified, thanks.