I figured that would be the case
Again, it's your template. The template itself defines each module position that will be displayed *and* the 'chrome' to use for that position. It's out of our hands if the template sets up the module position in a state that doesn't use the moduleclass_sfx. You'd need to contact the template vendor for how to change the chrome setting for the specific module position you're trying to use.
Since it sounds like you created the module position yourself, look at how the other module positions are being inserted by the template and make sure you're using the same code as the position that works properly.
Thanks,
Alex