I don't get how you use the cue on maschine+ I would like to hear a sound over headphones only. I get you select master out the headphones, does that setting need to be set at master. I need a general run down
I don't have an M+ to check it on at the moment, but I'm pretty sure you should be able to send cue outs to the headphones. It sounds like you have the main outputs routed to the headphone as well as the main out.
Check page 9 of the manual here, and also the hardware setup - https://www.native-instruments.com/fileadmin/ni_media/downloads/manuals/maschine/MASCHINE_Plus_Manual_English_01_10_2020.pdf
I think I figured it out you can't have output to headphones