How to Set Music and Vocal to be Transmitted To The Headphone Instead of Speakers?

Ensure the headphone driver you want is listed and checked as a selectable target. Otherwise, you may need to change driver modes and re-run the wave profile.

Edit -> Preferences -> Audio -> Devices

Then, select your master buss and set the output target to the headphone driver.

You need to make sure that both signals are routed the same. Your headphones are not likely tapping the point in front of your mains. Different audio hardware will have different settings for where the headphone feed comes from. 

For example, the maudio profire has 2 headphones that can monitor different outs: 1/2,3/4,5/6,7/8 so forth. On the vstudio, my headphones outs can be configured to use the main outs or the sub outs. 

the ua25 doesn't separate speakers and headphones as such..
the fa-66 doesn't, the fa-101 does not.. so I really really wonder if the ua25 is capable of doing so..
knowing that they don't separate the signal, I wonder why you can hear the vocals on the speakers and not on the headphones.. that can't be!
is it a volume problem ?
why don't you just turn the speakers off/disconnect them while recording ?
I'd guess that the vocals are suffering volume.. they have no chance against a mastered playback.. so you really need to either reduce the volume of your playback during recording, or bring up the vocals with a compressor and so on..
 
you should also read up on sonars "input echo" and your edirol "direct monitoring"..
using input echo within sonar is pretty straight forward and probably the best solution,.. if the ua25 would be capable of low roundtrip latencies.. hmpf.. so might want to try it, maybe it's good enough for you..
otherwise you need to use the direct monitoring option of the ua-25, start with a 12 o'clock position of the coresponding knob.. and try to get a good balance between vocals and playback,.. but then the headphone output of the ua25 might be too weak.. just try it.