Cubase can always address only 1 audio device at a time. In your case that would be either the SP404 MK2 through USB or the headphones through your computer’s built-in soundchip.
So you’d need to connect your headphones to a headphone plug on the SP404 MK2.
Furthermore, as was pointed out already, Cubase does not use Windows’ audio system at all but rather uses its own, independent audio system called ASIO. However, I could not find an ASIO driver for your device. This is where ASIO4ALL should come into play - it software-connects ASIO from Cubase to the Windows audio driver of the selected device.
If it is not working, feel free to post a screenshot of the ASIO4ALL control panel. It should look something like this:
