I'm not familiar with that mixer, but in general, what's happening is that the signal going to the PC "pre"--or before FX, EQ, etc. There might be a setting to switch it to "post" in which case everything would be included--and what you're hearing in your headphones is what you'd record. But (and there's always a but in life) that mixer might be hardwired to send a "pre" signal out to record. Like I said, I'm not familiar with that one.
Something to consider though--what's happening right now with your setup is what a lot of people actually want to happen. For a lot of singers, it's easier to sing when their voice is "wet" so they like to hear some reverb or maybe even some compression in their headphones. But it's cool to have a dry signal in your PC so you can add the verb and compression or whatever else in there. That way you're not stuck with the mixer settings. You can tweak it to really fit the mix.
I do this with my guitar. I just can't do a solo without the big 80's rock star sound. So I split my mic's signal and send one through a multi-effects box with reverb and stereo delay. I only listen to this one in my headphones. But I record the other one--a completely dry signal. Then I add my effects with plug-ins. For one thing, my plugs are actually better than my rack unit, and I invariably end up using less FX in the mix. If I'd recorded the guitar with the FX, I couldn't edit them.
So use your mixer's FX to sound right in your own head. But then you can use your software to get it even righter. Is that a word?
Good luck.
EDIT: One minute too late. I'm really not that redundant. He posted while I was typing. That's what I get for being so long-winded.