This is common user error. The output of all previews is routed to the Monitor 1 (not Main Out). Route the Monitor 1 to your physical output, where you want to hear the preview. If you wan’t to use th same output as the Main one, make sure the Main Output is Not aconnected then.
No, the presence of the Phones doesn’t affect it. In the Preferences, there is an option to use Phones as an Monitor too. This Preferences affects the routing.