I recently bought a Yamaha Clavinova CLP-635, which is an awesome digital piano. Using SM with it is almost like a completely new experience. There is, however, one strange problem: As soon as I connect headphones (in order not to disturb my neighbours) and run GP, the only sound output I am able to get is a mysterious mix of harpsichord and Honky Tonky piano! Classical pieces sound really fun when played like that.

All other instruments, including the default ones, seem to be blocked.
I have tried many settings on the piano, but the problem won't disappear. I have also tried all combinations of settings in the SM tuning software, but it won't go away. The problem only appears with this combination, i.e. headphones and SM.
Any ideas? What could be wrong here?