I am usually a defender of
the Xenyx series of mixers... I use a 1202 in my home studio, without the USB, but I've read the manuals and answered questions about most of them. When I saw your question I was fairly confident it was just a matter of the right combination of switch settings to do what you're trying to do... which is THE very thing that ANY audio device with a USB connection should be able to do... BUT... from what I'm reading about the Q502USB... for reasons I can't imagine, the engineers at Behringer must have taken the day off and left the design work to the weekend night shift janitor. There is NO EXCUSE for the patching behaviour of your mixer. The ONLY thing I can think of is that the weekend night janitor presumed you'd do your monitoring in the software. I'm not sure whether Audacity supports this or not. I know that
Reaper does, although I've never needed to use it. Read up on Audacity's monitoring capability. It may let you do what you are wanting to do, if your computer is fast enough.
In case none of what I'm saying makes any sense.... With hardware monitoring (which you were expecting), you push the right set of buttons, and the phones get the sum of the inputs to the mixer/interface and the USB signal from the computer. What you hear in the phones is real time because it's all a direct analog connection between the inputs and your headphones. A properly designed interface will send the inputs to the computer by USB, but not the USB signal it's receiving from the computer, because that would make a feedback loop, and all is good.
With software monitoring, on the other hand (which the weekend night janitor at Behringer had in mind), you push the right set of buttons, and the mixer sends the inputs to the computer and sends whatever the computer sends to the headphones. In order to "play along with the track", which we ALL want to do, the software has to do the work. It has to grab your incoming signal for what you are playing, add it to the queue material (previously recorded tracks, karoake backing track, whatever) and send that combined signal to the mixer for you to hear in your headphones. The problem with this is that the computer has to have what you are playing, to combine with what you are going to hear before you hear it! You can't very well "play along" if you have to play it before you hear it!!!. Now if the computer is REALLY fast, what you'll hear is what you played just a few milliseconds or so ago, which will sound fine as you're playing along. This delay is called latency, and it's
the reason software monitoring is an inherently flawed idea, and why Behringer doesn't normally let the weekend night janitor do their design work.
I exaggerate, of course... if you have
a modern, reasonably fast computer, check the Audacity help for info about monitoring. It probably has this capability, and when you click the right button in the software, it will do just what you want to do, with a teeeny little delay that you probably won't notice. If Audacity won't do it, download Reaper. It definitely does have sofwater monitoring capability, and it's quite inexpensive (and totally "try before you buy"!!!). In my experience Reaper runs circles around Audacity, although in fairness I haven't used Audacity in at least 8-10 years. It could be a lot more today than it was when I last played with it....
Hope this helps!
J