Software monitoring has to be on, otherwise you wouldn't hear any effects or virtual instruments.
My bad, it's only for audio. Mental glitch.
From the manual:
Enabling Software Monitoring for Recording
The Software Monitoring function allows you to monitor incoming audio through any effect plug-ins that are inserted into an armed audio channel strip. Audio inputs must be assigned on the record-enabled channel strips for software monitoring to function.
It is important to note that the effect plug-ins are monitored but not recorded, which can be useful during a recording session. For example, during vocal recording many singers prefer to hear their performance with a little reverb, but the track is recorded dry—without effects.