Okay it just occurred to me that we are talking about two different ways of monitoring.
I usually turn OFF the local control on my keyboard because I have a fairly low latency system that can send the notes back almost immediately. This way of monitoring would require that direct monitoring be ON.
What I think Davidk is talking about is monitoring from the keyboard BEFORE the midi data even goes into the computer. This would require you to turn OFF monitoring so as to not have the note be triggered twice.
If this is indeed the problem, then the solution would be to either turn local control off on your keyboard, or to turn direct monitoring off. Either way works, but if you are getting a delay through your PC then you should probably go with Davidk's suggestion of turning off monitoring...
hope that works for ya!
trog