DDJ-400 Headphones not working with default speakers!

With my DDJ-400 i can only hear the songs through my pc speaker "when my default audio output for both windows and rekordbox is default speakers" or i can only hear through my headphones connected to ddj-400 "when i chose DDJ-400 in rekordbox and then press headphone cue button on controller."

But in second case i need to keep headphone cue button on all time in order to to hear what im playing. I would like to hear songs im playing through windows connected speakers and when im about to mix i would like to press headphone cue and listen next song. But i cant! 

How could i make this work? It is a very minimal issue i couldnt solve and i cant pre-listen songs through headphones. 

Thanks in advance.