Monitoring with effects in Cubase/Nuendo can either be through input channels or through regular channels.

To do this, load any effect you want as an insert. Once loaded, set the input or channel to monitor by clicking on the "Monitor" icon (small Yellow button next to the Record Button). You should now be able to monitor with effect.

Bear in mind the following:

You will NOT be able to Monitor with effects if Cubase/Nuendo is set to Direct Monitoring in the VST Multi-track settings.

When monitoring with effects on input channels during the recording process, the audio will be recorded with the effect.

When monitoring with effects on channels during the recording process, the audio will NOT be recorded with the effect.