Perfect Effects has always saved the effects when I return to photoshop, provided I use a smart object when I come into Photo Effects, except, it will not save the layer masks with each effect I can open that layer back in Perfect Effects, and all the filters I've used can be re-edited, but no masks have been saved. It is so good at doing layer masks easily, it would be great if the layer masks details were also imported.

If I open Perfect Effects as a standalone program, there is the option to save as a layered psd. It then saves the layers and masks, but only if I reopen it in Perfect Effects. If I try open that psd in Photoshop, it says the image has unknown data which will be disgarded, so the image is flattened. Have you tried opening one of your Perfect Photo psd's into photoshop, and if so is it keeping all the information?