Minecraft – Using /effect on people with a certain amount of points on a scoreboard

Your command blocks are placed in the wrong order in the world.

When multiple command blocks are powered at the same time, they are executed in the direction of +X, +Y and +Z. It is very likely that your line of redstone "points" in the -X or -Z direction, thus making the game run the commands in reverse order:

/execute @e[score_Holding_min=1] ~ ~ ~ /summon LightningBolt ~ ~ ~
/scoreboard players set @a Holding 1 {DataTag}
/scoreboard players set @a Holding 0

This leaves every players Holding score at 0 at when the execute command is run, therefore it does not execute properly.

In 1.9+, chain command blocks should be used to easily prevent such issues.

Use

@a[score_WD=1,score_WD_min=1]

This means the maximum score they can have is 1, and the minimum score they can have is 1. So, the only score they can have is 1.

You command becomes

/tellraw @a[score_WD=1,score_WD_min=1] {"text":"Click this!","clickEvent":{"action":"run_command","value":"/say Hello!"}}