Hi Bartosz!
Source Effects are applied to Sound Sources via the SoundBase, so you’ll find that your SoundWave will have them! 
Try double clicking on your VO_MD_vs_I005_autopsyroom_02 SoundWave.
In fact, with your implementation so far, you don’t even need a SoundCue. You can loop at the SoundWave level and you can have SoundWaves play on Audio Components. As it is, the SoundCue will add unnecessary ticking to your logic.
It’s best to think of Source Effects as effects at the Source.