Sort of, I had things just not work, and I tracked it down to this:

pD2DGaussianBlurEffect->SetValue(D2D1_GAUSSIANBLUR_PROP_STANDARD_DEVIATION, 3);

Seems simple enough right? Nothing scary there. Well silly me not checking HRESULTS for this sample code. You see, that function is a generic set property function that can take anything. And you see, that's supposed to be a floating point number. Rather than do the sane thing, and just not set the value and keep the old one, the effect gets flagged as invalid, which causes it to not render.

The true moral of the story is to always check your HRESULTs, but it still irks me how that operates.