there is usually a tonedirect monitoring knob that affects some monitoring... but its mostly a configuration setup on your DAW and sometimes having monitoring enabled on your specific tracks as well...

I've never used Soundforge 7.0 but I have used 8 and 10. You are correct that when you set up your audio device that you must perform a self test and determine your latency etc... when you arm for record, a separate window pops up and should display the faux LED bars. If you can see these levels then you know you are able to direct monitor (which is what you want to do). As you mentioned, there should be a check box in the window at the bottom  left to feed that signal back to your output bus (whether that is your monitors or headphones). By default this box is unchecked but should be there to check.

If you do not see this box, check your soundcard setup in Soundforge, it doesn't matter if the card is ASIO or any other type of card, your hardware should be able to reroute the direct signal back to the output bus. I remember a card I had back in the 90s that i had to physically route with an external cable but that was several generations of technology ago and I would be shocked if the UX2 abondoned this feature.

Anyone owner's confirm that direct monitoring is possible with the UX2?

Also can you please list the other hardware you are using? i.e laptop, pc, version of windows etc... it will help to funnel down the possibilities.