I assume you have the returns from the external processor connected to the right physical inputs on the desk.
Then you have to route these inputs somewhere, in the Routing screen, where you can hear them, or where you want to process them further.
Hard to say what could be wrong. I have an external processor (a TC Helicon VoiceWorks) but I route it through the optical connections. It's a long way, with several settings in Routing, but it works.
Perhaps you can post screenshots of your Routing settings?
I figured this one out but I do think it is way too much hassle just to monitor a simple bus compression so,,I will do this by creating a sort-of insert point via external patchbay.