There is no sound when I route my fx through the fx loop (in back) and use headphones. Am I not setting the Marshall up right for this purpose? The fx loop works when played ambient.
This isn't going to make your day but see this thread:
Essentially the headphones disable the FX loop.
There is one solution of your problem. As the last element in your effects chain place Millenium HA4, https://www.thomann.de/intl/millenium_ha4.htm, or something similar. One of the output sockets connect to Return in your amp (you may controll speaker volume, or even mute it completly), another one use for your headphones.
Don't connect ANYTHING to headphones output of yor amp!
I didn't check it in practice, but in theory it should work OK.