Richard,
Yes, no speakers are attached to my notebook.
If I connect my headphone directly to 3.5mm headphone/microphone combo jack of my botebook, the playback becomes normal, and I can recode my voice into the video using Premiere Pro amd Rode AI-1.
The problem doing so is that the timing of my voice coming from my headphone is
different (delay) from the timing of my actually talking. I want to montior my voice
when recording.
If I connect both headphone and microphone to Rode AI-1, I thought it would solve this delay of my recording voice.
We are talking about two different issues.
The first issue is the playback issue. So If you don't use your AI-1 with speakers attach to them you should not select it to Output. Just for input for your Mic.
Couple of things. There is a mismatch with your sample rate. Your device is set on 44,1 Khz and your system on 48 Khz. You should try to make them match.
You should have a software with your AI-1. Try to find in the properties where is the sample rate and change it to 48 khz. You should have only one value.

Concerning delay. Several options to avoid delay.
I have a focusrite scarlet and when I plug an headphone I have a button called Direct monitor in order to hear my voice BEFORE it been preocessed and then I have no delay. It appears that it's a direct monitor by default on your interface ( you should see a blue led next to the first icon )if you plug an headphone so you should not hear delay with your voice on recording.). Have a try.
Then you have to know about MME and ASIO. ASIO mean a direct dialog with your USB interface meaning less delay than MME since MME protocol use the windows internal processing for volume for example. With ASIO, you control the volume only with your USB interface for example. So ASIO is more direct and reduce latency also. Upon all this, you have the latency that you can control in Premiere if you use MME. The lower the number is the lower is the latency but it ask for more computing power. So you should face issues if you use a too low number. Since you have an USB interface with direct monitoring, you should have no delay.
Let us know.