Okay … how about your soundcard/audio interface? Does it support Direct Monitoring? Are you using it?
Do you have a knob for something like “Direct Input vs. DAW/Computer”? If so, you want it all the way towards DAW/Computer (or whatever it might be called on your mystery device). Then, enable your track’s monitor button during recording and you should be able to hear your insert effects in real time. Remember to disable the monitor button for playback …