first of all, thanks for buying Cubasis.
Could you provide us with further details about how to reproduce the issue that you are experiencing? For instance: How many tracks are you using? In what state was Cubasis when you plugged in the headphones (recording, stopped, …)? The project with which you are experiencing the problems might be helpful as well.
With the risk of sounding stupid: Are you sure that your headphone volume is set properly. I made the mistake of forgetting to set the headphone volume for a few times myself, that is why I am asking.
With a little more information we can sort out whether you missed something, or whether you experienced a bug of Cubasis.