I'm pretty much 100% sure you're currently using the software with "Wave" or "DirectSound" drivers. Please check the program settings ("Audio/MIDI" tab) and make sure to use ASIO or WASAPI drivers. Only these will allow you to hear MIDI input in "stop" or recording mode. Also, these should be your preferred driver types to achieve low recording latencies anyway. If you do e.g. choose an ASIO driver, make sure to also access the "Advanced" settings and configure the ASIO driver to output to the correct physical device you actually want to be using for output/monitoring. By default, the signal might be going to e.g. some random audio driver in your system (i.e. USB headset), rather than your preferred audio hardware/sound card that you actually connected your speakers/headphones to.