You probably know this, but here goes anyway:
When you listen to the main mix, you are hearing everything as per the main fader level on each track, while the Cue Mixes in the control Room get their levels from the individual cue levels set for each track and cue in the Cues section in the Rack. Therefore if the Cue levels are not the same as the levels of the faders on each track, or if not everything is being sent via the cue mix levels on each track, a cue mix will sound different. Also, if you have Groups set up, make sure you are not sending the Group levels AND the individual component tracks in each group through the cues.
In the Control Room, select one of the four Cue sections and click on [Mix]. This will send the main mix that you are hearing through the cue send, so it should be identical to your mix. If, when you switch back to [Cues] the sound changes, then difference is probably to do with the cue levels being sent from each track.
Hope this helps.