For normal use, a headphone output on your interface should be fine.
Two reasons somebody might use a headphone amp though. First, if (for example) you have a mixer, you can create one or more customised mixes using auxes and take the line output into a headphone amp for musicians to have in their headphones.
Or, as already mentioned, if you're recording several people at once, a headphone amp with multiple outputs can let you give headphone feeds to several people at once.
But, for most things a solo musician would do at home, the output on your interface is fine.