alexis,
Either one works. The only advantage to doing it at the control room channel as opposed to the monitor channel is that you only have to have one limiter, no matter what monitor your are listening on. If however, you are adding gain on the individual monitor channels (whether through the input gain, or inserts on the monitor channels), especially if its in any way unpredictable gain, AND/OR if there’s a chance you’ll be swapping around different monitors on your monitor channels, it might make sense to put the limiter there instead.
As for me, I just put the limiter on the control room channel–but if I have no inserts or input gain happening on my monitor channels. If I did, I might be tempted to put a limiter on the last insert slot of my monitor(s) as well. An even better, and more foolproof solution is to put a physical limiting device before the monitors AFTER you leave the interface itself. Some people do this. I’m not quite paranoid enough to go through the expense and trouble of going to that extreme though.