straight out FX

[Atipp]

I understood that my effects processor/preamp could run straight into the board and sound good when I used my speaker simulator. But it kind of sux. It's not the same sound I hear in the effects headphone out (with phones). Is it possible to get a good guitar sound straight from this type of processor (digitech RP-10)? What about stomp boxes like a boss distortion pedal? Is there something I should know?

Thanks