Official comment
@Andrew > That's because the way the audio works for the headphones is it's a mono signal sent out on one of the channels, but you're sending both channels of audio from the Mac to the speakers, resulting in the headphone output being heard. If you were to pan the master output to one side, you wouldn't hear it, but then you'd have no headphone cueing. We also recommend using a wired output to the speaker to avoid latency / delay.