No, you do not need a speaker cable to make the connection from "Monitor Out, to you amps FX return.
FWIW, speaker cables are designed to carry amplified signals, which are much higher power levels than those carried by a standard instrument cable. The Monitor out sends a relatively, low signal to the connecting device.
For more info see here:
http://www.realtimeaudio.ca/bl…r-cable-instrument-cable/