please go to "FUNCTION --> UTILITY --> Tab CONFIG2 --> 1 SPEAKER: HEADPHONE SWITCH".
In this display you have three options (see also S970 reference manual, page 127):
HEADPHONE SW: Speaker sounds normally, but is cut off when headphones are connected to the [PHONES] jack.
ON: Speaker sound is always on, even if headphones are connected.
OFF: Speaker sound is off. You can only hear the instrument sound via the headphones or an external device connected to the AUX OUT jacks.
Hope this helps!