I have an MK3 as well and for the life of me, I was never able to find a way to create a separate mix for headphones that I can regulate volume for within CueMix (including the internal sound, that is).
In other words: I’ve always used the main out for both headphones and the main out, which requires me to use the push encoder every time I want to change the headphone volume (I won’t get into the details, but I often find it more comfortable to do that from the software, due to the place where I have my interface set up).