Hi, yes, this is possible even with headphones connected to your laptop.
In Mallmuzik\Settings\Audio, it's best to create a new audio configuration. To learn how, press F1 there.
In the new audio configuration, you need to add "master and headphones."
For both outputs, i.e., master and headphones, set your computer's audio card and the same channels 1 and 2.
The "master" device must be in every audio configuration, but it won't interfere if you select the same audio card and the same channels for headphones and master.
After launching VDJ, use the following shortcuts:
H : Switch Headphone Output Modes.
SHIFT + H : Announce Current Headphone Output Modes.
CTRL + H : Set Left deck headphone PFL output on or off.
ALT + H : Set right deck headphone PFL output on or off.
Good luck and have fun! Regards, Zenek