You need to plug the headphones into the MODX headphones out connector, you can't use two ASIO interfaces (MODX and the Focusrite) at the same time in Windows.

Here's a detailed explanation of the required routing and the reasoning behind it:
https://yamahasynth.com/learn/part-1-mastering-modx-audio-record-on-daw
https://yamahasynth.com/learn/audio-record-on-daw-part-ii-mastering-modx

On windows 10 when I open sound settings it says. Input choose your input device. so I choose line (modx)
If I don't choose line (modx) then I'm not able to get any sound into my computer or music software.
I have the usb cable coming from the modx into the laptop. I don't have any monitors connected seeing as though it says the modx has its own built in sound card.

This means it takes the place of the computer’s built in soundcard. You will know it’s the computer’s sound card because that is where your computers connect to its speakers.
When you select the MODX as the replacement soundcard, it follows that you need to connect speakers to the MODX. That’s what it means to be the soundcard — the device is responsible for audio both output by the computer and audio going into the computer.

This is why Dragos correctly mentions connecting headphones to the MODX, if you don’t have Studio Monitor speakers through which you play your MODX.

I thought I would use the built in soundcard like it says you don't need to use your own?

You cannot use the computer’s built-in soundcard. It is not capable of doing what you need to do. You must select an external soundcard, like the MODX. The soundcard that comes with your computer is fine for playing back audio. It cannot record audio and playback audio simultaneously… which is ultimately what you will be doing. Imagine pressing a key and a full quarter of a second later you heard the sound… you will not be able to play under those conditions.

The Focusrite is a separate audio interface (soundcard).
As Dragos correctly states: “… you can't use two ASIO interfaces (MODX and the Focusrite) at the same time in Windows.”

You need to plug the headphones into the MODX headphones out connector, you can't use two ASIO interfaces (MODX and the Focusrite) at the same time in Windows.

Here's a detailed explanation of the required routing and the reasoning behind it:
https://yamahasynth.com/learn/part-1-mastering-modx-audio-record-on-daw
https://yamahasynth.com/learn/audio-record-on-daw-part-ii-mastering-modx

I didn't realize.
No wonder I had problems then.
Thank you Dragos

On windows 10 when I open sound settings it says. Input choose your input device. so I choose line (modx)
If I don't choose line (modx) then I'm not able to get any sound into my computer or music software.
I have the usb cable coming from the modx into the laptop. I don't have any monitors connected seeing as though it says the modx has its own built in sound card.

This means it takes the place of the computer’s built in soundcard. You will know it’s the computer’s sound card because that is where your computers connect to its speakers.
When you select the MODX as the replacement soundcard, it follows that you need to connect speakers to the MODX. That’s what it means to be the soundcard — the device is responsible for audio both output by the computer and audio going into the computer.

This is why Dragos correctly mentions connecting headphones to the MODX, if you don’t have Studio Monitor speakers through which you play your MODX.

I thought I would use the built in soundcard like it says you don't need to use your own?

You cannot use the computer’s built-in soundcard. It is not capable of doing what you need to do. You must select an external soundcard, like the MODX. The soundcard that comes with your computer is fine for playing back audio. It cannot record audio and playback audio simultaneously… which is ultimately what you will be doing. Imagine pressing a key and a full quarter of a second later you heard the sound… you will not be able to play under those conditions.

The Focusrite is a separate audio interface (soundcard).
As Dragos correctly states: “… you can't use two ASIO interfaces (MODX and the Focusrite) at the same time in Windows.”

I managed to get sound from the Yamaha modx but I was doing it all wrong.
I've taken note Bad Mister and I will do it the way you suggested.
Appreciate you taking the time to reply sir.
Thank you.