I belive it has to do with the resolution to of the document. Mines was set to 72dp, when I changed it to 300dpi it started to show the halftone effects.
Is there any way I can make the letter transparent? I tried using the magic wand and the color range selection tools, but they remove some parts of the halftone, is there any way to create it without the background layer? I tried using the halftone without the background layer but the filter doesn't work.