Again, I have no clue how you manage to do it, but I can't replicate it no matter the case, can't help you. Check with GetEffectX/Y if it even moved it at all.

pengyi:

function Init takes unit u returns nothing
set t = CreateTimer()
set e = AddSpecialEffect("Units\\Human\\Footman\\Footman.mdx",GetUnitX(u),GetUnitY(u))
call TimerStart(t,0.01,true,function MoveEffect)
function
function MoveEffect takes nothing returns nothing
call SetEffectPosition(e,GetUnitX(u),GetUnitY(u),150)
function

The effect will not be visible when it leaves the place where it was created

SetEffectPosition takes Z in consideration, and it is NOT autocorrecting via terrain Z, hence it's most likely under the ground:

So, for the future, first test things properly, before thinking it's a bug. :D

Use GetLocationZ to get proper Z and then add it to your needed Z, so it will be GetLocationZ( Location( GetUnitX(u), GetUnitY(u) ) ) ) + 150.

Also, it's very important to add "." to numbers of type real, so the game doesn't constantly use i2r opcode, as to not waste game's resources for no real need.