You're not doing anything wrong.

Although there are 3 Analog Film choices are in the FX Room, they're not actually FX. Instead they're simply video overlays whose settings cannot be adjusted, and that's why they're placed on the track below the main clip you dragged them onto. You can reduce the opacity so the effects are less stark, but that's about it.

Use Old Camera, Old Movie or NewBlue Old TV (if available) just like you did in PD18 if you want to tweak the effect levels.

It does seem that PD20 grouped the blending mode Analog Film 02 with the other fx effects. In the previous PD versions it was found in the Blending Mode instead. One can set the blend mode and opacity of the entire overlay used on a clip with the popup. Did not see anything in the help screen about this change.

It looks like you are expected to know that it is a video overlay in PD20 if you used an older version of PD previously. If you have say a clip longer than 10 seconds like a minute long then you need to highlight all 6 of those overlay clips to set the opacity and then go to Tools/Blending Mode. In the popup window click the down arrow and highlight each of the blending modes to see and then select the desired blend mode.

You may also want to use the other old film effects suggested by optodata.

Thank you Tomasc & Optodata!