I’m trying to play guitar software (Guitar Rig) through bluetooth headphones using a UR22C interface but cannot get any sound. Should this work or do I need to buy hard cable headphones or speakers to plug in directly to the UR22C interface?
You need to use wired headphones with the UR22C.
To reinforce previous answer: even if you make your headphones work, you will notice extremely big latency if you try to play and listen simultaneously. That is because of Bluetooth. It isn’t a protocol for live applications.