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.

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.

Yes, you can write it as follows:

"The interior monologue has the following features: firstly, it is immediate, lacking conventional syntax and introductory expressions. Secondly, it is characterized by two levels of narration."

Here's how you can work through the sentence to make it clearer and more concise:

1) Starting with "The interior monologue has the following features," provides a clear topic and sets the context for the sentence.
2) Instead of saying "first," you can use the adverb "firstly" to indicate the first feature.
3) "Immediate" can be used to describe the lack of conventional syntax and introductory expressions.
4) Rather than saying "it is free from," you can omit the subject "it" and say "lacking" to make it more concise.
5) Instead of starting a new sentence, you can continue with "Secondly" to indicate the second feature.
6) "Characterized by" can be used to explain how the interior monologue is portrayed.
7) Instead of repeating "it is," you can omit the subject and simply say "is characterized."

By following these steps, you can improve the clarity and conciseness of your writing.