If you use CTRL SHIFT Right or CTRL SHIFT Left commands, they only serve to open/close the 12 note columns. But it doesn’t work for effect columns, since they are already in use.
This is context dependent. When the cursor is on a note column, it will add/remove note columns. When the cursor is on an effect column, it will add/remove effect columns.
If you are on a note track and there is no effect column, it is not possible to open one with the keyboard commands due to the cursor position.
I guess that is a lesser evil in this specific case.
I personally like that it works based on context (cursor position), but in this case you will need to use the mouse.