Problem is, they dont supply the correct cables, you need a small audio cable that fits into the "line in" of your sound card, and a 1/4 inch adaptor to plug that cable into the headphone socket, shouldnt cost more then a few £
Or like you said, you can plug in headphones, or connect the analog outs directly into your monitor speakers.
Best option which ive been using is the small cable, its basically the same setup they used on the guitarport, which i owned so luckilly i had the smaller cable type.