The Direct Monitor switch on the Scarlett 2i2 does not disable the feed from your DAW. Rather, it toggles whether you hear your input source directly before it goes to your DAW. If you only want to hear your direct source and not the monitor signal from your DAW, you’ll need to mute the channel that you’re monitoring from within your DAW.
In Pro Tools, you can also enable Low Latency Monitoring by clicking Options and selecting Low Latency Monitoring at the bottom. This will essentially mute the DAW’s monitor signal.