No Audio Playback

I have a UR242 running through Cubase 8 AI.

I am using a line in through the usb to record on Cubase. When I switch drivers from Built-In Audio to the UR242 ASIO I can begin recording, but the computer’s built-in audio output AND the headphone port on the front of the UR242 stop playing.

I can’t figure out a way to direct the overall output to a specific place, IE the headphone socket on the UR242 or my computer. Is there something I’m not seeing or do I need to use the UR242’s MIDI/Line outputs to monitor my recording?

EDIT: I am receiving audio playback, just not while recording. So I guess my question is actually, how do I send audio to the UR242 headphones while recording or while playing the instrument without Cubase actively doing anything (if you understand me).

Are you activating the monitoring button on the track which you are recording on?