Ok, here's the deal.
When you create special effects, they play their birth animation, followed by their stand animation if they have one.
The thing is, if they do not have a stand animation, it will be shown as nothing, but the special effect remains. Therefore, you would have to remove it to prevent many "invisible" effects from stacking up in game memory, causing lag.
The way to do this is simple. If you use an instant effect (Thunder Clap) that doesn't have a Death Animation, you can just use
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Special Effect - Destroy (Last created special effect)
This will make the special effect play its death animation and get removed. If it doesn't have a Death Animation (you can check if they have it using the little model viewer on the left hand side of WE), it will play its only effect (those without death animations only have 1 animation).
In the case of Thunderclap, it will show the slam effect and remove itself immediately, so its cleaned.
So basically:
Special Effects always remain, unless you destroy them. Even if you can't see them, it remains in the game's memory. If you don't destroy them, it will start lagging. Simple
Simply use Destroy Last created Special effect to destroy them

Alternatively, you could use:
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Custom script: call DestroyEffect(bj_lastCreatedEffect)
It does the same thing, but its better xD