The Portuguese forward headed in a Samuele Birindelli corner on 51 minutes, helped by an error from the visiting goalkeeper, and doubled the lead from the penalty spot on 63 after Sebastiano Esposito fouled Dany Mota.
Vasilije Adzic, on loan at Sassuolo from Juventus, pulled one back with a superb free-kick in the 88th minute, but Monza held on to reach four points. Sassuolo stay on seven after beating Juventus last time out.
Monza coach Ivan Jurić, speaking to Sky Sport, said his young side finished the night in fine spirits.
"I'm very happy for the boys, we needed to gain confidence and we finished with an ultra-young team tonight."
He singled out goalkeeper Noel Törnqvist, who made saves at key moments on his Serie A debut.
"In the first half maybe it was the game where we suffered the most. Tornqvist did very well, he is a goalkeeper who saves shots and goalkeepers who come from abroad have their own technique, which is not familiar to us, but what matters is that he saves.
"I'm satisfied because today we faced an experienced team, in the first half, partly my fault, we didn't find each other. In the second half we raised the level and did the things we prepared, and that's where we won the game. Today we deserved it."
Jurić then looked ahead to the three-week international break.
"We have many boys with the national teams, there is also time to fix Zeballos and Ngonge, we have many injured and we will try to recover them. It doesn't drive me crazy but we accept everything."
Sassuolo coach Alberto Aquilani, speaking to DAZN, felt the game turned on small details.
"It's always the episodes that decide games, I wasn't sensing any danger in the second half and then unfortunately things happened that compromised a game we were conducting in the right way. These are evenings that help you grow."
He was not disappointed with his players' attitude after the win over Juventus.
"Today could have been a good maturity test, but I didn't see a Sassuolo that was flat or drained after the victory against Juventus. The desire was to take home the three points, but they found the spark and we must take note. I liked the team."