It looks like that NUX is also an audio device and has an ASIO driver available. The MIDI will be just for controlling the amp: channel switching, effects on and off, etc
Be aware that ASIO only allows you to use one driver at a time.
In my opinion, these sort of devices don't quite live up to their promise as far as the audio interface portion, especially when it comes to playback and mixing. I think it is better to use the line out into a dedicated audio interface and forget about trying to use the amp as such. That's how I used to use my Line 6 floor pod before it bit the dust.
It might work out for you though, depending on what your goal is. All of your audio will have to be going through the NUX however.