Questions about sonar and Zoom Gseries pedal

Hello all,
 
I recentely bought a Zoom G3X pedal and i'd like to use it with Sonar. Although I had no problem having it detected and playing the guitar with it, I am forced to plug a headphone in the jack input of the pedal in order to hear the sound. I cannot hear it from my regular headphones plugged into my PC, which is where it's plugged when I record the piano ...
 
I thought it was related to the fact that I cannot select an entry that is different from the output in Sonar, as it shows in the image I enclosed.
 
It's probably a stupid noob question but is there a way to use the pedal as an input but still use my computer's regular driver for the output? That was I won't have plug it all on my pedal, piano included, and I wouln't have to switch drivers and config everytime I switched from the piano to the guitar (piano with pc driver and guitar with pedal...meh that sucks too much)

 
 
Thanks for the answer and if you guys can give me some advice as to how to setup Sonar and my gear in general, I would greatly appreciate it ! I just need to be able to plug an electric piano and a guitar...
 
Cheers