Do you have more than two soundcards? With ASIO4ALL you are able to configure two soundcards so that you have two sound outputs - one for cueing, one for the master signal. So you can plug in your headphones in the soundcard you set up for cueing.
Sound Blaster are supposed to have their own asio drivers so you shouldn't need asio4all. Can you post a screen of your preferences/audio windows from Cross ?
It seems that you are not using asio and the headphones output is certainly the same as the main output so the soundcard can't do this by herself. Your last chance is to see if asio4all can split the outputs as different channels.