This cable will do the trick: https://www.monoprice.com/product?p_id=4931

There shouldn't be any need to activate the delays.  If the pedal is active, the mix isn't all the way to Dry, and none of the routing settings have changed, you should be getting some delay signals.  What algorithm are you using? Have you tried changing the Delay Time parameter to see if it makes any change in the signal?

Have you confirmed you're plugged in to input 1 and output 1?  Some of the algorithms do unexpected things if, for example, the cables are in input 2 and output 1.