Headphones are meant for the ‘mixing engineer’, not the performers. As such, they can select from the main mix (from the Output), or any of the cue mixes, so they can set any of them up.
The cue mixes can be fed directly from the Cue Sends on any channel, unlike the Phones output.
That is, you set up cue mixes by adjusting the Cue Sends on individual channels, then use the Phones output to select from the cue mixes, or the main mix.
The main problem I find with setting up cue mixes is that the controls on the channels are fiddly, and because they are horizontal, not really easy to get comparative levels, nor are they easy for a performer to set up.
Cubase iC Pro changes all that, allowing each of up to four devices (Android and iOS) to have a ‘normal’ mixer that has the Cue Sends and main level for one of the Cue channels. It allows each performer to easily set up their own mix, even selecting which channels they want in the mix. That is how it should always have been done!