You can kind of do that, if you are running only one layer. It appears that double-clicking an effect will show it in the preview window applied to the comp (at least that's what mine is doing now).
It's been so long I can't remember if this was always the behavior or if it used to preview it just on the selected clip. Anyways when I'm making changes like that during a live shows I'll copy the clip I want to a free layer. Set the opacity of that layer to 0 (in the event I trigger it on accident), trigger the clip preview by clicking on the clip name, then dragging the effect I want to test out onto the clip. There might be a much easier way to do that, it's just the way I figured out.