Thank you @jimfist and @MichaelDean!!
Using the "SEND" effect, there is also SEND MODE parameter which can be set to either SEND or SUBOUT. I can't hear any difference between the two or see how they are different in any way.
Yes I can confirm that both the FX Loop and the Send need the DRY parameter to be wound up to still hear audio on the OUT/Headphone jack.
I couldn't find that little gem in the manual though.
However, after adding the "SEND" effect if you link a foot switch button to the "SEND" effect, the button will toggle the audio path between the OUT/phones and the SEND jack, with the DRY parameter set to 0. The switch can also be set to latching or momentary. I don't have any use for that, but perhaps someone might.
It was definitely worth having a play around with it, I found that with the SEND level set to 80, setting DRY to 80 gives me no level change when listening on the OUT/phones.
Thanks again guys!