I had this problem as well, and what I found that you have to do is change the default output device on Asio. For some reason, Asio does not automatically reset to whichever output you are using. You can do this by going to the steinberg folder, Asio and running the Asio interface. You should be able to select your headphones as the default output device (Must be plugged in). Or you can also donwload another Asio device, like Asio4all which has a little bit better user-friendly interface to it and you can change your output device in CuBase while it is running.
Note: Access Asio while CuBase is NOT running or it won’t make the change until you reset CuBase.
Hope that helps.