No audio output from headphones

Hi there, 

I just purchased the DDJ-800 brand new, and in the process of setting them up. 
I have connected my headphones out of the sound jack and am hoping to mix entirely with my headphones for the beginning. However, I am unable to hear any audio out of the headphones, despite having changed my audio output to headphones. Can someone tell me if I have the audio settings incorrect, or if I just haven't hit the right things on the controller to hear the audio?

thanks so much