I'm not 100% sure about this, but I think that, because the HDMI and Headphone outputs take a different
circuit
path, you can't have them both going at once. You might try changing the Jack Sense (Settings menu), but I think that only pertains to having the internal amp drive the speakers at the same time as the analog output. Once the path splits off before the internal DAC, I think that's all you get.
If I'm wrong, then someone please correct.
Another option: Does your device that receives the HDMI signal have its own headphone output?
Hdmi on plus Headphones on