The following FX aren't applied to the headphone sound. This is part of the unit's specifications and not a malfunction.
■ BEAT FX
DELAY, ECHO, PING PONG, SPIRAL, REVERB and FLANGER
For example, if you apply an effect to the channel 1 sound, the effect won't be applied even if you monitor the channel 1 sound with your headphones.
You can check the sound of Beat FX by monitoring the master sound.