Official comment
You need to have something configured as the headphone output, usually the same as the master output:

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When I want to sit down, organise my collection and select a few possible tracks for a set I can't seem to get sound when I click on the wave-forms in the preview. It's very tedious to move the tracks to a deck and click play with my mouse because then I can't maximize the track explorer.
You need to have something configured as the headphone output, usually the same as the master output:

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