No. You are not doing anything wrong. Typically, keyboards with built-in speakers have an automatic shut the ‘speakers off’ Option. The MODX has no built-in speakers therefore, the Main L&R Outputs are live whether or not headphones are plugged into the Phones jack.

The Main L&R Output is delivered to the Phones. They contain the same mix at all times.

Since headphones cannot be separated from the Main L&R outputs - there is not a way to prevent the Main L&R from outputting sound while the headphones are used to monitor. If I need to "practice" something during a gig - the mixing board has to have my channel(s) muted.

I have wished before there's a way to mute Main L&R independent from the headphones to do the type of monitoring you've said you want to do.

Unfortunately, you may have to buy something to get the response you want. A small mixer or even an "A/B" switch so you can mute yourself locally.

Without Assign L&R, there are not other options that I am aware of to accomplish your goal. Montage would have the additional option to route your Main L&R outputs through to your A/D input - then output this to your Assign L&R (so Assign L&R will have the master and system effects applied). Then turning on/off your "Mains" output independent from your headphones would be pushing the A/D Input button to enable and disable the input.

I don't think a simple A/B switch will serve the purpose. There are small mixers with a monitor channel that allow you to turn down mains while monitor level is up, and vice versa.

Yamaha makes them. MG06 is their smallest, it has separate phones volume and main volume, allows L/R to be managed as separate stereo inputs. Tons of other options out there ...

A/B Switch idea was the poor man's mono channel solution. I typically run mono because that's all the space my soundman gives me on the board - so in this case, an A/B switch or "mute" switch would work if the unterminated channel with extra cable between didn't cause a hum.

I believe that there are currently no wireless headphones which have a low enough latency to be any good for playing the keyboard. At least when I looked around I always found some comments to that effect. I am not sure why, maybe the market is too limited.

There are good wireless in-ear monitoring devices and good microphone transmitting systems. So it is doable to have wireless with low latency it just has not been done. Maybe it needs bigger batteries?