UR242 with Reaper - No Sound

I am a complete beginner at all of this. I have tried using UR242 in the past and had problems with it, and am trying again. I am using a Macbook Pro 2021 with Monterey. All latest drivers/tools etc. installed.

Reaper sees the UR242 and it appears to record something,. I have audio output set to Macbook built in speakers and input to the UR242. I have direct monitoring turned on but I don’t hear anything through the Mac. I have to connect headphones to the UR242 itself in order to monitor. Is this how it’s supposed to work? Very confusing

You could run through some of the troubleshooting steps here for Reaper: