I am using the Dazzle Hollywood DV Bridge with an external monitor. I couldn't preview video on the external monitor in Vegas unless the video was raw DV encoded video files (DV Format from capture mode). Maybe this is the deal for you as well.
I believe the footage in your Vegas Video project needs to all be mjpeg data you captured from the Matrox card. If the mjpeg codec for the card is present on this PC, and the data you have in the project is all compressed with that mjpeg codec, then, theoretically, you should be able to go to options/preferences/ext. monitor--change the device to your Matrox card, choose the format to be the mjpeg codec for the card, and then external monitor should function correctly. I've not worked with this configuration before so I'm not sure if this will work.