I did a quick forum search, but didn´t find this issue un this forum. I´m posting it on the Cubase (and not the dedicated hardware forum), because it seens to be a Cubase 9.5 issue. On Cubase 9 and older, the extension still works as expected.
It is not possible to set the Effect Insertion location only to the monitor signal.
The circle is always located to the middle, but the chain indicates, that the channel strip effects are recorded (which indeed is the case).
The only other option is to switch the channel strip of completely.
This issue should be adressed in a future Cubase update or a Tools for MR update, because the ability to route the effects to the monitor signal only is one of the key features of the MR 816 CSX.