The Mach 3 has two different volume controls. There's SIG OUT, which controls the volume of the Line Out or H-Phone output and SPKR VOL, which controls the overall volume of the amp coming from the speaker.
These two volume controls are independent of one another. This was designed so you can have a Line Out signal and use your amp as a monitor, or you can use the speaker as your main output while also using headphones at the same time.
Plugging in headphones does not automatically stop the speaker output. If you are looking to use headphones with your Mach 3 for quiet practice, you'll need to turn the SPKR VOL down and turn up the SIG OUT to your liking.
If you are adjusting the SIG OUT and not getting a signal, you'll need to double-check your headphones, cable, or whatever source you are running the Line Out to.