We have to assume you are setup to use the MONTAGE as your audio/MIDI interface, and that you are connected directly via a USB cable, using the "Yamaha Steinberg USB Driver appropriate for your Mac; If that is the case, monitoring yourself will be dependent on whether you are recording MIDI or audio at the time.

In general...
Connect the headphones to the MONTAGE's Phones jack on the back panel.

To hear yourself play on the keyboard you would have DIRECT MONITOR = ON. This is the normal condition of the instrument when used "standalone".

If you are setup to record MIDI to your DAW, it is common practice to work with the keyboard's LOCAL CONTROL = OFF; this literally places the DAW MIDI Track between the MONTAGE Keyboard and the MONTAGE Tone Generator. Key presses and controller movements are manifested as MIDI messages sent Out to the DAW. In this case, in order to hear yourself you must 'complete the circuit' by routing the MIDI messages through an active MIDI Track set to Out data to the MONTAGE on a specific MIDI channel.

Once you've completed that routing circuit, then (and only then) the Tone Generator can make audio.

That Audio is capable of being routed both Direct to the Main L&R Output and via USB Out to your DAW. You can choose to monitor the audio going to the Direct Out (analog), or to the audio going USB Out (digital) to the computer and back... the USB Out can be recorded in your DAW and the signal routed back to the audio interface (MONTAGE) and to the analog outs.

The Main L&R analog Output, is always duplicated at the MONTAGE Phones jack. Always.

To tell you specifically how to hear yourself would require a bit more information as to what you are setup to do.

But IF you are using the MONTAGE as your interface... plug your headphones into the Phones jack
[UTILITY] > "Settings" > "Audio I/O" > make sure Direct Monitor is On.

IF you are using an external audio interface... plug your headphones into that device and set it for "Direct Monitor".

Thank you,