I feel like I must be missing something.
Can you direct montior with effects applied? For example, can you apply a little Rev-X to the headphones - while direct monitoring?
Yes absolutely. That is one of the main features 
how do you set this up
It’s been a while since I did this, but I think you use an input channel in the mixer and open the hardware section on the channel that you are using to record.
Yes do that. Then apply what reverb in the hardware mixer. Don’t forget to choose in the “F3” mixer how much you want to send. Tick direct monitoring in device setup first.