The PHONES jack on the R-07 is not compatible with headphones (or earphones) that have 4-pole or 5-pole miniature phone plugs.
If the headphones (or earphone) you're using if a 4-pole or 5-pole type, sound might fail to be heard via the headphones and continue to be output from the built-in speaker.
Check the specifications of the headphones you're using and use standard 3-pole mini-stereo type headphones.
* If you're using 4-pole headphones (or a 4-pole earphone), you can also use a compatible 3-pole jack adapter plug or 3-pole miniature phone extension cable together with the headphones (or earphone) you're using.