1.  Create a new document.

2.  Create a frame.

3.  Type in some text with both capital letters and lower case letters, for
example "Here is Some Text".

4.  Highlight the text.

5.  Choose "Format->Character" from menu.

6.  Choose "Font Effects" tab.

7.  Note that the "Effects" dropdown (where one might choose "Small Capitals"
for example) is completely missing from the window.

8.  If you choose "Format->Character->Font Effects" when text is selected NOT in
a frame, you do get an "Effects" dropdown.

9.  If you copy text with a font effect (like small capitals) from outside a
frame and paste it into a frame, the font effect is lost.

CONCLUSION:  I would expect font effects to work everywhere, including in
frames.  They certainly do in Microsoft Word, so imported documents that use
font effects (like Small Capitals) are not properly imported.  However, this
seems odd regardless of whether you are importing.  These effects should just be
available in frames.  I see no design reason that they are absent.