Doesn't that make you curious about what is making it effective?
Not really. Placebo Effect covers it pretty nicely.
In of the treatment, why knock it? Medical research should be able to conduct research on why (i.e., uncover mechanisms) it is effective.
Medical research has been done, leading to my response above.
"Placebo effect/repsonse" is not well understood and is a catch-all term for something we assume won't have an effect but is indistinguishable from the "real" treatment. As has been shown many times over, placebos may have real effects in many, many different ways. Studying placebo response helps us better understand what is working and what isn't working. BTW, when you find the "placebo" really has an effect, it really is no longer a placebo.
Regarding that "medical research," I'm not sure what you are referring to. Dismissing the study of a treatment that works by calling it a placebo is not really useful to the pursuit of knowledge or improving patient care.