There are two basic groups of things..... VST's and audio FX.
 
They each work in the tracks that they are designed for.  One needs to be aware of that because  you can add them into the bins but they will only work within the parameters they understand.
 
For example, adding a synth to the audio track FX bin will work....BUT, it needs a midi track feeding it data. If you try to feed it with the audio from a guitar, it will not function.
 
Also noticed up top in first post....The only time I get any sound is when I connect the speakers directly to the audio interface,..... yes, you do want to use the audio interface for both the input and output. I assume that you are listening on the computer soundcard/speakers...... that is not advisable. It works but it can create other issues.... so do use the audio interface  in and out,.  Be sure the driver mode is ASIO on the interface.