It’s not a matter of whether the priest is a monsignor or not. Monsignor is an honorary title given to priests in recognition of their outstanding service to the Church, but it doesn’t carry with it any authority or any special permissions to do anything.
A pastor (who might or might not be a Msgr), has the faculties to confirm a catechumen when that catechumen is baptised. This should usually be done at the Easter Vigil, but might be done on Pentecost.
So, the answer is that “if the monsignor is the pastor of that place” then yes, he can confirm when he baptises an adult.
If he is not the pastor of the place, or he isn’t baptising the catechumen, then it will depend on other factors–it’s entirely possible though.