The Cub has two different volume controls. There's SIG VOL, which controls the volume of the Line output or Head PH 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 the speaker 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 Cub for quiet practice, you'll need to turn the SPKR VOL down and turn up the SIG VOL to your liking.
If you are adjusting the SIG VOL and not getting a signal, you'll need to double-check your headphones, cable, or whatever source you are running the Line output to.