If you use external monitoring in Reason, or turn off monitoring, the recorded sound is not monitored by Reason, so you can not hear the effects in Reason.
In other words, external monitoring is only right for you if you want to monitor the raw sound of what you plug into the desk (e.g. your guitar), directly from the desk, while you record your take.
If you want to listen (i.e. monitor) through the effects in Reason while recording your takes, then you want to monitor through Reason. I.e. option 2. in my last post.
These steps should take you there:
1. Set monitoring to Automatic in Reason
2. Make sure the only signal going into your audio interface inputs is the guitar sound. Reason output must not be heard on the line going into audio input
This may require you to do one of the following:
A. Connect guitar directly to audio interface inputs (i.e. stop using desk for input)
B. Use desk features such as aux send, fx send, main out + control room out, or whatever your desk has, to let you listen to Reason output without also feeding it to the audio interface input.
C. Connect audio interface outputs directly to listening equipment (i.e. stop using desk for output)