Oh and you have to make sure the little round blue power button beside the effect name in the bin is on but by default it is as soon as you insert the effect. You can then use that to turn the effect on or off.
BTW... the reason for direct monitoring is to eliminate any latency while recording caused by effects so you may experience either latency (sound will be delayed after you play it) and/or you might experience crackles/dropouts. If you encounter either of those issues come back and describe your system specs, interface and if possible what settings you are using for recording (driver mode, buffer settings, cahce settings, etc).