You need to understand how the audio devices work on your computer.
For example, I configured my Windows 10 parameters/devices so that Cakewalk communicates through my audio/MIDI device's ASIO driver while at the same time, I send the audio from other software (such as a web browser) through the motherboard audio codec (as controlled by Windows' Audio/Sound) to the front audio output of my PC. I could plug in a pair of headphones, but for my needs I chose to connect it to my audio/MIDI interface.
If I want Cakewalk to send the audio to the headphone jack on the front of my PC, or the output jack on the back of my PC, or even the built-in speaker, I change some basic settings in using Cakewalk's [P]references. Specifically, (1) I change the Driver Mode from ASIO to Windows Audio (shared) [aka WASAPI (shared)] and then (2) change my Audio > Device Output to whichever output I want to use.
Normally, P is the shortcut for Preferences. From the Preferences panel, (1) Audio > Playback and Recording > Driver Mode lets users select/change the Driver Mode. (2) Audio > Devices > Output Drivers lets users choose which outputs Cakewalk uses.
In addition the track control [O]utput widget lets users decide where to send the audio output from each audio track.
I tried this and the headphones weren't showing up on the devices 😟
How do we play Cakewalk through headphones?
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I tried this and the headphones weren't showing up on the devices 😟