Yes this will work perfectly. I'm running the ADI-2 (original) this way, with a preamp before it, works flawlessly !!! There's monitoring via the headphones out on the ADI-2 which also works flawlessly. I'm hooking it up to a RayDat via ADAT but you could use anything you want with it (it's nice to have Totalmix to control how the monitoring is working what is sent to and from etc. but this could all be done in the DAW). No reason to get other expensive devices or dedicated sound card if you don't need it. The channels will show up in your daw just fine, as long as you have something to receive it with. No need to split cables just use a regular XLR cable which is balanced, hook it up to the preamp and input 1 or 2 on the ADI-2 and you're good to go

I own the original ADI-2 (non pro, non fs, non hifi-dac era) supposedly the ADI-2 Pro is the upgrade, which I'd assume works similar ie yes you do get to monitor your signal coming in, since it has analog headphone out which gives you direct monitoring of what's coming in. This may be different on the "hifi" ADI-2's that is, the ones with fancy display on the front etc. and it may also behave differently depending what you hook it up to. Since I have it hooked up to a RayDat card (ADAT) which has Totalmix, I can route things and monitor as I wish, - mind you, this is the signal I'm getting via the ADAT in and out, so what I send to the ADI from my computer in this case, or from my other RME device which is hooked up to another ADAT on the RayDat - that signal will be sent to the ADI-2, so I'm only getting the latency of the AD/DA conversion, naturally. So I go direct from mic-pre to the Analog 1 on the ADI-2 and guitar direct from pedals (true bypass, buffered pedals at Hi Gain to get the most dynamic range) into Analog 2 on the ADI-2  I then do direct monitoring of that mic and guiar input on the ADI-2 or sometimes only software mix via the DAW, but often a mix of the two so I get the low latency clean signal as well, as I can hear the processed signal at the same time, so I know what's going on with my sound in a live monitoring live recording performance situation. I can't do this trick without some kind of Totalmix or daw or other mixer software, though I can still get it done without a computer hooked up, so to answer your question: I don't see why you wouldn't be able to do "direct monitoring" since the device has built in headphones out that would directly monitor what's coming into the box - BUT, it may not behave as you wish if you hope to do direct passthrough monitoring like a true bypass analog pedal would feed the signal directly through AND do the digital monitoring and ad/da conversion, for that I think you need something else, it is after all an ad/da converter, not a mixer. Correct me if I'm wrong anybody.

..and if that interface is say a RayDat or similar digital interface, with Totalmix it's just the ad/da latency, you don't HAVE to monitor through your DAW as well. Hope that makes sense.