Have you configured your I/O to use the Audiobox as your output?
Are you plugging the headphones into the Mac? or into the Audiobox?
There are plenty of options.
If you are plugging into the Audiobox, you need to set S1 to playback via that box in the Song Setup dialog.
If you are plugging into the computer, you have to set that for the output instead.
It depends on what you are trying to do, but it's about the I/O configuration...
You can see a link on the Start Page ("Configure Audio Device...") and that's the starting point to get it set up.
I hope this helps.