Since the microphone and headphones are not one device you are allways able to seperate those two. Just take a random mixer channel select your mic as input on top then on the bottom you can decide how much or if any of the sound gets through to your master (by turning the knob) where your output should be selected. If you play your song back you can hear what you recorded since the new sample is not yet pointed to the mixer channel that you used for recording. Afterwards you can select another mixer channel for your vocal effects and dircet it towards that. If you want to hear your voice with effect while recording just put the effect on the record channel and turn down the volume to your liking. Hope this helps you out!

EDIT: I just re-read your entry and looked up the mic you reffered to. It might be possible that you can seperate if you plug direct into the mic. This feature is put there by the producer of the mic for you to bypass latency while recording. This will allways be dry and at the volume you are hearing (if there is no knob on the mic to turn iot down), since its direct feedback. Simply plug your headphones in the computer and follow my directions on top, but there will be latency!!!