Narrowing down hardware vs. settings ...

If the problem is "software" or settings (and not the PHONES jack itself), then you would hear the same results coming out of your Main L&R 1/4" outputs for MODX. So I would attach studio monitors to the Main L&R outputs to see if the same behavior was heard from those two outputs. If the relative levels (R to L) matched the headphones - then I would conclude there's likely a problem with a setting. If Main L&R outputs are fine, I would start to look at that adapter and try to eliminate any other possibilities for failure. Main L&R and PHONES are, by hardware, mirror images of each other. That's not to say there couldn't be a soldering issue with the PHONES connector itself - but that would not be expected.

Looking at the "software" (settings) side ...

To my knowledge, pan is not something set at the system level and therefore recalling any factory preset should generally pan the overall sound near center. Recalling something like "CFX + FM EP" should provide about equal output on R and L. I'm not aware there would be any other settings you'd need to check.

If you're using a custom (user) Performance vs. a factory preset - then there are some possibilities that the pan of a PART or mixing offsets need to be looked at. Having checked several factory presets would help (or already has helped) to eliminate this sort of issue.

There's other possibilities but are far fetched and testing with the suggested preset above should eliminate most of those.

Before taking your instrument to an authorized service center, you will want to verify those headphones and the adapter in any other situation (to eliminate them from the equation). And plug the Keyboard into the left and right channels of a mixer with Meters so you can see the output level.
Physically inspect the PHONES jack. And as strange as this sounds, walk around the back of your keyboard and look into the port with a flashlight for any possible object lodged in there. Verify you are plugged in the Phones jack (talking with our service folks those are the two most common gaffs).

If you are unable to eliminate the cause, have a service center take a look at it.