Question

I saw your corrections and I thank you for your help.

Shall I write this way:
1) The interior monologue has the following features: first, it is immediate since it lacks the conventional syntax and it is free from introductory expressions. Second, it is characterized by two levels of narration.

Answer 1

Since you say "features" in the first clause, you should not have "first" and "second" in separate sentences. Try this:

the interior monologue has the following features: First, it is immediate since it lacks the conventional syntax and it is free from introductory expressions; second, it is characterized by two levels of narration.

Because the clauses after the colon make a complete sentence, you need to capitalize the F on "first."

http://grammar.ccc.commnet.edu/grammar/marks/colon.htm
Read the section right below the box.