I was not completely correct - the grayed out box means - it does not support ASIO direct monitoring
Your interface does support direct monitoring, but not ASIO Direct monitoring. And I think, you´re confusing direct monitoring with input monitoring.
Because you want to monitor with FX - therefore you need to monitor via Cubase. “ASIO Direct monitoring” bypasses Cubase and monitors via the hardware, controlled from within Cubase.
Direct monitoring bypasses Cubase and monitors via hardware but not controlled from within cubase.
Yes, you´re monitoring the record path via your interface, and playback via Cubase. You need to enable input monitoring on record - are doing that?