In most relevant situations a transformation will not affect any effects. For some effects like "bevel and emboss" you probably won't care but an unscaled drop shadow can be a real nuisance

As usual a script can help. This JavaScript can scalle the effects of the selected Objects before or after you transformed them.

The screenshot if of the german version, the link points to an english one. You can scale the effects with a different factor horizontally than vertically. If an effect uses only one parameter (like blur), the arithmetic middle is used.

The selected objects are handled recursively which might take some time but also means that also effects on objects inside a selected group will be scaled.