It's all about the monitoring path. If you have zero latency monitoring, it's because the interface is feeding the headphones the live signal before it goes into the computer. If you are listening to the computer, there will be latency.
However, there might be a way to route the effects, so that you only hear the effects from the computer and still hear the live feed. This will work for delay effects and possibly reverb, depending on how much latency there is. Adding 40ms of latency to a 200ms delay isn't the end of the world, but adding that much latency to your live vocal would be a big problem.