For those who don't know what direct ASIO monitoring is, it basically switches to hardware direct input for recording and the computer output for playback. It made a tremendous amount of sense back in the late 2000s, when computers weren't as fast as they are now, and before people got into recording through plug-ins like amp sims. Here's a
useful article from the June 2007
Sound on Sound, describing ways to circumvent latency and including ASIO direct monitoring as one of those options.
Nowadays, most computers are fast enough that you can monitor through the computer with under 10 ms latency, or under 5 ms latency at 96 kHz. If that's not enough, most interfaces have a switch or knob that allows direct input monitoring. You can then switch out of it after recording and get back to the computer environment.
I'm sure some people will say that have a problem with under 10 ms of latency, but I spent so many years on stage more than 10 ft. from my amp it's actually an improvement